- 期刊
融券回補能創造軋空行情嗎？－台灣股市之驗證
Can Short Sale Recalling Resulting in the Short Squeezing-Evidence from Taiwan's Stock Market
摘要
過去關於信用交易的文獻，大部分皆針對信用交易對股市之影響或暫停信用交易對上市上櫃公司的影響來進行研究。本文則彌補文獻之缺口，針對台灣上市股票於融券最後回補日前是否有市場所謂的軋空行情來進行研究，並且針對不同型態的融券強迫回補與不同特色的股票類群來進行比較。研究結果發現整體而言上市公司融券強迫回補前確實具有軋空回補行情，其中又以股東會前的強制回補所創造的超額報酬最高。顯然融券強制回補的制度顯著影響了股票的報酬。若依據個股之特色做分類，成長型股票不論在何種原因的融券強制回補中，皆具有顯著為正的超額報酬行情；價值型股票則只有在股東會前的融券強制回補中才具有顯著的正超額報酬。另外不論大小規模股票，都只有在股東會融券回補中才有顯著為正的超額報酬；而高融券股之融券回補行情則明顯優於低融券股。在本文所研究的三個分類變數中－市價淨值比、規模與融券餘額比，融券餘額比是影響融券強制回補時股價走勢的最重要因素，規模的影響則相對較小。
並列摘要
It is distinguishable that past literature regarding credit transaction, which mostly focused on the impact on stock market, or the negative impact on the listed or OTC companies which are officially announced suspension of credit transactions. This study adopts the event study method to examine whether any abnormal return may occur before and after the final short sale covering date for the listed companies in Taiwan. Empirical results for this study show that the total listed companies indicate the excess return before the forced short sale covering, and the short sale recalling before the shareholders' meeting demonstrates the highest abnormal return. Obviously, the regulation of short sale recalling affects the stock return a lot. Classification based on the characteristics of the individual stocks finds it is not verified that whether the value stocks do have abnormal returns when ex-dividends and ex-rights short sale covering are executed, whereas the growth stocks do. On the day after final short sale covering deadline for small caps board of shareholders meetings, the small stocks also demonstrate significantly positive excess returns. In addition, stocks with higher short selling position yield better than that with lower short selling position. In general, the three classification factors (the market value over net value ratio, the size over short sale amount ratio and the short sale ratio) are important factors affecting the stock trend of short sale recalling, while the influence of size is attenuated.