演講摘要 : The level of transaction cost is an important factor affecting investors’ returns and stock behaviors. Securities transaction cost, for example, includes broker’s commission, securities transaction tax and other implied costs, and securities ransaction tax is the important issue that attracts the academia and regulatory attentions. Some existing literatures present arguments in support of a tax on trading on the grounds that it would curb excessive speculative trading and thus lower stock price volatility. owever,some provides an opposing viewpoint. They believe that transaction tax would lower stock liquidity and therefore cause excess volatility. This paper nvestigates the impact of changes in securities transaction tax rate on volatility and liquidity for Taiwan stock market. In the empirical period from 1985/3/1 to 1994/12/31, there are five times of rate adjustments (three of them are lowered and two are raised). This study employs GARCH model and ACD (Autoregressive Conditional Duration) model to test the effect of changes in securities transaction tax on stock volatility and stock liquidity. The empirical results show that high securities transaction tax would reduce stock liquidity, and increase stock volatility. The result demonstrates that transaction tax would lower stock liquidity and therefore cause excess volatility.
