放空限制對股市的影響

The Impacts of Short-Sale Constraints on Stock Market

曾秀英(Hsiou-Ying Tseng)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/博士(2010年)

https://doi.org/10.6342/NTU.2010.10647

摘要

本研究主要是探討放空限制對股市的影響。台灣市場在近年來對於放空限制—“平盤之下不得放空限制”的取消，正好可以提供一個很好的研究環境。民國九十四年五月十六日豁免台灣五十指數成分股，融券賣出價格不受限制。民國九十六年十一月十二日豁免台灣中型一百指數成分股，融券賣出價格不受限制。這兩次放空限制的取消，發生在不同的市場情況，前者是多頭，後者走空頭，正好可以作為實證研究最好的樣本。研究結果顯示，放空限制取消之後，股票的買賣價差縮小，波動性沒有太大的改變。因此，放空限制取消，並未如有關當局所擔心的會使市場不穩定。

關鍵字

平盤下不得放空限制、放空限制、流動性、波動性、法規變動效果

並列摘要

This study investigates the effect of short sale restrictions on stock market using a regulatory change in the tick rule on the Taiwan Stock Exchange. The sequential tick-rule removal enables the empirical study on how the short-sale tick rule impacts the market by examining changes in market quality measures after the removal of the tick rule under different market conditions. The empirical evidence shows that spreads get narrower and volatilities do not increase for the test stocks relative to the control stocks. It implies that the removal of the tick rule does not destabilize the market.

並列關鍵字

Tick Rule, Short Sale Restrictions/Constraints, Liquidity, Volatility, Removal Effects

參考文獻

Wu, J. Julie, 2006, Uptick rule, short selling and price efficiency, Working Paper (Texas A&M University).

Alexander, Gordon J., and Mark A. Peterson, 2008, The effect of price tests on trader behavior and market quality: An analysis of Reg SHO, Journal of Financial Markets 11 , pp. 84-111.

Bai, Yang , Eric C. Chang and Jiang Wang, 2006, Asset Prices Under Short-sale Constraints, Working Paper.

Bris, A., W. N. Goetzmann, and N. Zhu, 2007, Efficiency and the Bear: Short Sales and Markets around the World, Journal of Finance 62(3), pp. 1029–1079

Chang, E. and Y. Yu , 2007, Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market, Journal of Finance 62(5), pp. 2097–2121