近年來社會上討論的問題，不外乎是居住正義與資源分配公平的議題。以台灣的房價來看，自2003年至今，價格不斷地攀升；政府為符合公平正義原則，營造更優質的租稅環境，冀希由2011年的「奢侈稅」至2012年的「實價登錄」政策，進而抑制房地產之投機行為，縮小貧富差距。因此，政府的租稅政策改革過程如何影響股市是個值得深入探討的議題。
因此，本文利用2010年9月10日至2012年11月23日間，台灣加權指數及營建類指數日資料，藉由GJR-GARCH模型來探討台灣近期租稅改革的政策對營建類股與台股報酬及風險之反應，及比較兩階段租稅改革政策立法歷程其對營建類股與台股報酬與風險所釋放之差異性。
With house prices rising, the justice of residence has been considered as the most important issue in the society. Thus, Government adopted tax policy reform in regulating the gap between rich and poor. However, during reform process, it is a concerned issue whether the luxury tax and actual price registration would accelerate the reform process and then result in the information effect by affecting the stock risk.
Therefore, this study used the asymmetry GARCH model, including GJR-GARCH model, to examine the effect of Taiwanese tax policy reform on TAIEX stock market returns and volatilities during 2010-2012. Moreover, we compare whether the different results will be influenced by two stages of the legislative process, including luxury tax and actual price registration, on Construction industry stock and TAIEX stock market. The findings can provide relevant enterprises and investors with a reference in making decisions for using financial products for hedging purposes.
