[[alternative]]The Effects of Capital Gains Tax Retaxation on Taiwan Stock Market

[[abstract]] 本研究旨在運用事件研究法探討證所稅宣告對股價之影響，研究標的為台灣全體上市櫃公司與八大類股股價報酬率，其中八大類股包含電子、金融保險、塑膠工業、鋼鐵工業、紡織纖維、建材營造、汽車工業及食品工業類。本實證研究有以下重要發現：一、財政部確定證所稅最優先課徵之訊息公布時（第一事件日），對台灣上市櫃公司與八大類股之股價產生顯著負的平均異常報酬及累積平均異常報酬。二、立法院三讀通過課徵證所稅之訊息公布時（第二事件日），在事件日後二日（t=2）開始，全體樣本公司的累積平均異常報酬率開始下滑皆為負值。三、立法院通過證所稅修正案訊息公布時（第三事件日），即使取消設算課稅的八千五百點，對台灣上市櫃公司之股價產生顯著負的平均異常報酬及累積平均異常報酬，而八大類股之平均異常報酬率亦全部為負值，除食品類、塑化類與汽車類股之累積平均異常報酬外，其餘類股顯著為負。上述實證結果顯示證所稅宣告對台灣股市存在負面之影響。本文之結果除可提供主管機關參考，健全證券業之發展外，亦可以提供投資人資訊，以作為投資依據。[[abstract]] The purpose of this study is using event study method to investigate the announcing effects of capital gains tax on stock price in Taiwan. The research subject are all listed companies and eight major categories stock which included electronics, financial services, insurance, plastics, iron and steel, textile fibers, building materials and construction, the automobile industry and the food industry. This study had the following fundamental findings: first, the Ministry of Finance determines capital gain tax of stock as the highest priority was pronounced （first event day）, all listed companies and eight major categories stock prices have a significant average abnormal returns （AR） and cumulative average abnormal returns （CAR）. Second, the information of Legislative Yuan had passed the capital gain tax （second event day）, that is, t=2, the CAR of all listed companies start to fall to a negative value. Third, the message of amendment of capital gain tax of Legislative Yuan （third event day）, even assessment of 8,500 points was canceled, AR and CAR of all listed companies and eight major categories stock were significantly negative, except food industry, plastics and automobile industry. These empirical results show the information of capital gain tax has negative effects on Taiwan stock. These results in addition to providing the references for the authorities can also provide the information for stock investors