DOI QR코드

DOI QR Code

A study on the efficient application of the replicating portfolio according to the tax imposition within K-OTC market for activating financial transactions of small-medium and venture business

중소 벤처 기업의 금융거래 활성화를 위하여 K-OTC 시장에서 조세부과에 따른 복제포트폴리오의 효율적 활용에 대한 연구

  • Received : 2018.03.05
  • Accepted : 2018.06.15
  • Published : 2018.06.30

Abstract

This paper makes a theoretical approach to the differences between transaction tax and capital gains tax when the financial instruments are traded and imposed taxes in K-OTC market, a newly emerging off-board market. Since it is difficult to reduce risk to the level which investors would like to pursue - depending on the taxation methods of portfolio-composed financial instruments - when it comes to forming a synthetic bond to hedge risk, this paper also seeks for effective taxation methods to make this applicable. First of all, to thoroughly review the taxation balance of synthetic bonds, this paper analyzed the effects of the transaction tax and capital gains tax imposed upon synthetic bonds according to the changes in final stock price and strike price in K-OTC market, and analyzed after-tax profit differences among them depending on whether income tax deduction took place or not. As a result of the research upon the tax gap in transaction tax and capital gains tax according to the changes of final stock prices, it was shown that imposing transaction tax is more likely to be effective for some level of risk hedging with replicating portfolio considering taxation policies and financial markets, since the effect of the transaction tax has a much lower tax gap than that of capital gains tax. In addition, in relation to whether income tax deduction was permitted or not, it was proved that the effect of the transaction tax and the capital gains tax vary depending on the variation in the strike price. Above all, it was shown that if the strike price is lower than the stock price, the transaction tax will be less affected by the existence of income tax deduction than the capital gains tax, while both will be equally affected by the existence of income tax deduction if the strike price is higher than the stock price. Further study would be to demonstrate the validation of this in the K-OTC market with actual financial instruments and, also, to seek for a more systematic hedging method by using a ratio analysis approach to the calculation of the option transaction tax

References

  1. 김수성, 최원석 (2015), "파생금융상품 양도차익 소득과세에 관한 문제점 및 개선방안," 세무와 회계저널, 16(6), 43-75.
  2. 류혁선 (2010), "파생상품 과세방안에 대한 연구," 증권법연구, 11(1), 217-254.
  3. 양인준 (2017), "세법상 비상장주식 평가문제와 그 대안," 조세연구, 17(1), 171-198.
  4. 오종문, 윤태화, 김완희 (2010), "재무적 등가관계와 절세 금융상품," 세무와 회계저널, 11(4), 9-38.
  5. 유준수 (2017), "풋-콜 패리티를 이용한 합성채권의 과세형평성에 대한 이론적 고찰," 글로벌경영학회지, 14(5), 251-279.
  6. 장홍석, 김종일 (2017), "증권 발행 및 공시에 관한 규정에 의한 비상장주식 평가방법에 대한 실태분석," 세무와 회계저널, 18(3), 63-90.
  7. 전병욱, 최유진 (2015), "파생상품 양도소득세 과세의 타당성에 대한 연구," 법조, 64(9), 257-295.
  8. 정영기, 박정우 (2001), "파생상품거래의 과세합리화 방안에 관한 연구," 세무학연구, 17, 233-269.
  9. 정영기, 백원선 (2000), "파생상품거래의 과세방안," 회계와 감사, 36, 221-260.
  10. 정운오, 김갑순, 전병욱 (2008), "K증권과 S은행의 공격적 세무계획 : 과세대상 이자소득을 비과세 파생상품 거래이익으로 변경한 사례," 회계저널, 17(4), 353-376.
  11. 채은동 (2012), 파생금융상품에 대한 거래세 도입에 관한 연구, 국회예산정책처,
  12. 홍범교, 김태정 (2011), "파생상품과 과세소득에 대한 연구,"경영교육저널, 17, 71-85.
  13. 황성수 (2014), "우리나라 파생상품 시장의 발전과정과 활성화 방안에 관한 고찰," 경영사학, 29(4), 27-46.
  14. www.law.go.kr.