開放平盤以下放空與現股當沖對效率市場之影響：台灣股市之實證

自2008年金融海嘯與2009年的歐債危機後，全世界的金融市場陷入空前低迷，經濟狀況趨向悲觀，台灣股市也無法幸免於難。金管會為了刺激經濟，振興台灣股市，分別於2013年9月23日施行了平盤以下可放空股票以及2014年1月6日開放現股當沖的兩項新政策，期望能提升台灣股市的成交量，帶動整體經濟情勢向上攀升，促使經濟能逐漸好轉。本文使用了Lo and Mackinlay（1998）的參數型變異數比率檢定，接著以Wright（2000）以rank與sign為基礎之非參數變異數比率檢定，最後以Chow and Denning（1993）之多重變異數比率來檢定，並針對此兩項新制度施行的前後三個月對市場效率的影響。由實證結果得知，在此兩項新制度施行後，約有五成的股票顯示由拒絕弱效率市場假說轉為接受此假說，尤以電子類股更加明顯。由此可知，當開放帄盤以下可放空股票與現股當沖後，對於部份的股票市場效率性的確有所提升。

關鍵字

弱式效率市場；變異數比率檢定；多重變異數比率檢定

並列摘要

After the 2008 financial tsunami and 2009 European debt crisis, financial markets and economies around the world sank into depression and the Taiwan stock market is unable to get away from this situation as well. To stimulate the economy and invigorate the stock market, the financial authority in Taiwan revoked the short selling restriction on Sep 23, 2013 and implemented day trading on Jan 6, 2014, expecting these policies can promote the volume of stock market so as to push forward the economy. This study uses the parametric variance ratio test of Lo and Mackinlay (1998), the multiple variance ratio test of Chow and Denning (1993), and the rank- and size-based nonparametric variance ratio test of Wright (2000) to examine the impacts of these two policies on the market efficiency. The empirical results indicate that the weak-form efficient market hypothesis, originally rejected before the policies are implemented, is accepted for 50% stocks after the policies are implemented. This evidence is more significant for those in electrical sector. This implies that the market efficiency is gradually improved by these two policies.