除權息期間外資持股轉換 指數型基金對其避稅行為之探討

Abstract

本研究主旨在探討外資在台股除權息期間針對元大寶來台灣卓越五十指數ETF(以下簡稱0050)的持股比率的變化是否跟0050的總受益權單位數變動率有顯著相關，觀察外資是否在台股主要除權息期間透過0050進行初級市場實物申購或買回，將持有的一籃子股票轉換為ETF的形式持有，待台股主要除權息尾聲，再將先前持有的0050轉換回原持有的一籃子股票標的，探討外資是否有避稅行為之發生。

本研究發現外資總持股率的變動確實與與總受益權單位數的變動有顯著相關，而經由進一步分析後發現，台股主要除權息期間外資總持股率的變動與總受益權單位數的變動影響更為顯著正相關，故合理推論外資有利用不同金融商品的除權息時間差，有避稅行為的發生。

The subject of this study is to explore foreign investor activity in the Taiwan stock market (TAIEX) during the ex-right / ex-dividend period. We want to explore if there is a change in shareholder ratio for the Yuanta/P-shares Taiwan Top 50 ETF (hereinafter referred to as 0050) which is significantly correlated to the rate of change in total number of units of 0050.We observe whether foreign investors in Taiwan market conduct primary market purchases or buybacks during the ex-right / ex-dividend period of Taiwan stock market, converting a basket of stock investments into ETF holdings. Then after majority of Taiwan stocks complete ex-rights and ex-dividends, convert the 0050 ETF holdings back into the basket of stocks, thus avoiding or reducing their tax liabilities. The study found that the rate of change in foreign ownership is significantly related to the overall change in the total number of beneficiary units. Further analysis has uncovered that during the TAIEX's ex-right / ex-dividend period, the change in foreign investor's shareholder ratio is significantly positively correlated with change in total beneficiary units.Thus, it is reasonable to infer that foreign investors utilize the difference in ex-rights and ex-dividends periods for various financial products in order to avoid and reduce their tax liabilities.