Effect of Transaction Tax on the Relationship between Volatility and Trading Activities of Taiwan Stock Index Futures

Abstract

本文主要探討調降期貨交易稅（台灣股價指數期貨在2006年1月1日時，交易稅由現行的千分之0.25調降成為千分之0.1）對於台灣期貨市場的台指期、小指期、電子期與金融期等四種股價指數近月契約之報酬波動和交易活動之間關係的影響。我們考量時間趨勢及季節因素對於期貨波動和交易活動的效應，使用Luu and Martens (2003)的彈性傅立業形式(Flexible Fourier Form, FFF)進行個別檢定，同時並將FFF加入到日內總報酬波動與交易量（投機性交易活動）所組成的兩結構方程式中以檢定交易稅、時間趨勢及季節效應。研究期間從2004年7月1日起至2007年6月31日止，使用每日與日內5分鐘的交易資料進行實證分析。主要結果顯示四種期貨的降稅效果有所差異，台指期、小指期和電子期的交易量在降稅後會顯著地增加，但金融期則是顯著的減少，可能原因與投機性交易活動有關。另外也發現在降稅後，這四種期貨的投機性交易活動均會明顯地增加；同時，有部分的研究結果指出調降交易稅會造成期貨的報酬波動增加。最後，我們也發現四種期貨的交易活動均存在時間趨勢及季節效應。

This paper examines the impact of the reduction of futures transaction taxes on the correlation between return volatility and trading activities of nearby contracts of the four stock index futures, i.e. TX futures, MTX futures, TE futures and TF futures on the Taiwan Futures Market. (The Taiwan futures transaction tax was lowered from 0.025% to 0.01% on January 1, 2006.) This paper considers the effects of time trends and seasonal factors on return volatility and trading activities by performing individual tests with Flexible Fourier Form (FFF) developed by Luu and Martens (2003). Meanwhile, this paper incorporates FFF into the two-equation structural model, which consists of the sum of intraday return volatility and trading volume (speculative trading activities) in order to test transaction taxes, time trends and seasonal effects. The research covers the period starting on July 1, 2004 through June 31, 2007. It performs an empirical analysis with daily and 5-minute intraday time series data. The result shows that there are variances in the effects of transaction taxes on the four futures. The trading volumes of TX futures, MTX futures and TE futures increased significantly after tax reductions; whereas the trading volume of TF futures fell markedly. This may be due to speculative trading activities. This paper also finds that after tax reductions, the speculative trading activities of these four futures dramatically picked up after tax cuts. Meanwhile, some studies indicate that the reduction of transaction taxes results in an increase in futures return volatility. Finally, we find that the trading activities of the four futures show time trends and seasonal effects.