A Study of Tax Saving and Tax Refund Effects by Taiwan Single Stock Futures during Ex-Dividend Days

• Main Authors: MIN-KUANG YEN, 顏敏光
• Other Authors: Chuang-Chang Chang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/91635169052317756176

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 100 === The purpose of this study is to explore how much investors can earn from tax saving or tax refund by means of transactions between single stock futures and the underlying securities under the imputation tax credit system. In this research, single stock futures listed on Taiwan Futures Exchange as the issuers of the underlying securities traded on Taiwan Stock Exchange that made dividend distribution after May 3rd 2011 to the end of this year were chosen as research targets to analyze tax saving and tax refund effects with different personal income tax rates investors. In addition, the purpose of this study is to also try to figure out what the best trading price strategy is. Market Model with natural logarithm transformed daily trading volumes of single stock futures and the underlying securities were adopted in examining the behavior of investors. The final results of this research illustrate the followings: 1.Investors with 5% income tax rate cannot earn from tax saving by transactions between single stock futures and the underlying securities; however, the rest of the investors with higher income tax rates can. 2.Only investors with income tax rates under 12% can profit from tax refund. 3.The best trading price strategy is to trade with average price on the day before ex-dividend day, and offset with opening price on ex-dividend day. 4.The regression results show that there are substantial increases in natural log transformed trading volumes of single stock futures and the underlying securities during the periods before and after the ex-dividend day, which prove that investors actually trade between single stock futures and the underlying securities for tax saving and tax refund purpose.