The Impact of the Tobin Tax Proposal on the Stock Return of the Security Industry
Date Issued
2010
Date
2010
Author(s)
Chiang, Sheng-Hao
Abstract
In order to show the will of fighting with hot money, Taiwan’s Central Bank (hereafter refers as to Central Bank) released a press which was written by its governor, Fai-Nan Perng on January 12th 2010. That press indicated that the pricing system of foreign exchange market will be distorted and the doubts of stock and asset bubbles will increase when a large number of hot money remitted into Taiwan. Central Bank quoted professional opinions from many famous international organizations and Nobel Prize winners to support the press. That press also emphasized that Central Bank would take the appropriate capital controls to alleviate the doubts. Levying a Tobin Tax on foreign portfolio investors is a possible proposal especially. This thesis uses event study to examine whether the Tobin Tax proposal would affect the cumulative abnormal returns（CAR）of security companies listed on Taiwan Stock Exchange（TSE）and Over The Counter（OTC）, and tries to establish the regression model to analyze the relations between（CAR）and three corporate characteristics: BIS rate, corporate size and corporate growth.
The findings of this thesis are as follow:（1）When Central Bank raised the Tobin Tax proposal, security companies listed on TSE and OTC had negative CAR.（2）For all sample companies, CAR is positively related with corporate size.（3）BIS rate and corporate growth have no significant relationship with CAR.
Subjects
Tobin Tax
Event Study
Cumulative Abnormal Returns
Capital Controls
Monetary Policies
Type
thesis
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