本研究主要探討融資及融券對股價崩盤的影響,並再深入探討不同時期融券制度的限制及開放特定股票平盤以下可放空對股價崩盤的影響。本研究以台灣上市公司1995年至2014年共計20年的交易資料做為研究對象,並以Panel Data進行分析。本研究結果發現融資比率會對股價崩盤造成正向的影響;融券比率則會對股價崩盤造成負向的影響。接著平盤以下不得放空之限制期間融資及融券比率均對股價無顯著的影響,此政策是為了防止股票崩盤,此實證結果顯示政策有達到一定效果。而開放台灣50及台灣中型100成分股也皆對股價崩盤無顯著的影響,表示這段期間開放指標性股票對於股價並不造成崩盤,因此政府進而開放指標性股票來穩定市場。
This paper investigates the impacts of margin purchase and short sale on future stock price crash risk. Using a large sample of firms listed in TWSE from 1999 to 2014, we find robust evidence that margin purchase is negatively related to the future stock price crash risk. On the contrary, short sale is positively related to stock price crash risk in the future. We also find short sale had no significant effect on the risk of stock price crash during the period of the short sale price constraints when stock price below the previous closing price. In 2005(2007), FSC announced that the components of Taiwan 50 (Mid cap 100) index can be shorted at a price below its previous closing price. The empirical results suggest that the short interest of components of Taiwan 50 index and Taiwan Mid Cap 100 also had no significant effect on the risk of stock price crash. Our evidences support the policy of short-sell price constraints is helpful to stabilize future stock price.