本研究以台灣股市為樣本，探討當沖交易量、交易稅變動與股價日波動性之間的關係。利用2014年至2024年之交易資料，並採用多元迴歸及二階段最小平方法進行實證分析，結果顯示現股當沖交易量顯著提高股價日波動性，且2017年實施的現股當沖證交稅減半政策進一步放大了此影響。稅負降低促使短線交易活動增加，導致市場噪音強化與價格波動加劇。本文建議未來政策設計應兼顧市場活絡與穩定，避免單純追求交易量成長而忽視市場風險。本研究結果對於台灣的金融監理政策制定，提供了實證上的參考依據。

This thesis investigates the dynamic relationships among day trading volume, transaction tax changes, and daily stock price volatility in Taiwan's equity market. Using a large-scale dataset covering the period from June 2014 to June 2024 and employing both multiple regression and two-stage least squares (2SLS) methods, the study provides robust empirical evidence that cash-based day trading significantly increases daily stock price volatility. The 2017 policy reducing transaction tax for day trading further magnified this effect. The analysis suggests that lower transaction costs encourage speculative behavior, resulting in intensified market noise and short-term price swings. These findings reveal critical policy trade-offs: although reducing tax may enhance market liquidity and trading activity, it also increases systemic risks and undermines price stability. The study offers important insights for regulators aiming to balance market development with financial stability and contributes valuable empirical evidence for future policy formulation in Taiwan’s capital markets.

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