- 學位論文
探討振興台灣股市政策措施-以現股當沖為例
The effectiveness of stimulus package in Taiwan stock market
摘要
2008年世界金融危機以來台灣股市面臨交易量大幅萎縮，證券商經營日益艱困，為提升股市動能，金管會在102 年9 月3 日宣布推動活絡股市措施，包括開放投資人先買後賣現股當日沖銷交易、擴大平盤下可融( 借) 券賣出之標的、暫行放寬證券自營商得以漲( 跌) 停板申報買進( 賣出) 有價證券及103年11月3日實施擴大上櫃股票融資比率、提高整戶融資融券額度及放寬信用交易資券互抵額度；為衡平先買後賣現股當日沖銷交易，金管會再於今年6 月30 日開放投資人先賣後買現股當日沖銷交易及104年6月1日放寛漲跌幅為10%。身為證券商從業人員為暸解政府推動這些政策的有效性，將針對政策開放前後股市生態影響研究：利用單變數及多變數二種檢測方式，對施實現股當日沖銷交易之先買後賣及先賣後買事件日後週轉率、日報酬波動度、市場報酬率及股價淨值比對動能提昇的效用。
並列摘要
Taiwanese stock market experienced a substantial reduction in trading volume in 2008 because of the raveling of financial crisis. To stimulate trading activities, Financial Supervisory Committee (FSC) in Taiwan initiated a number of new regulations, including allowing day trading, allowing margin trade in the bear market, reducing the required margin, expanding the price limit to 10%. It therefore is important to understand the effectiveness of these new regulations. We conduct an event study comparing the stock market activities before and after the implementation of these new regulations. Our results indicate there is a significant increase in turnover rate and volatility after FSC allowed day trading, which advocates the new regulation but also indicates the injected liquidity comes at a price of increased volatility.