- 學位論文
平盤放空制度之改變對台灣股票市場微結構的影響
The Effect of changes in the System of Short Sale for Parity Price on the Microstructure of the Taiwan Stock Market
摘要
台灣證券交易所於2005年5月16日起取消台灣50指數成份股融券賣出價格不得低於前一營業日收盤價格之規定，又進一步於於2007年11月12日起，取消台灣中型100指數成份股融券賣出價格不得低於前一營業日收盤價格之規定。 上述兩次取消平盤下不得放空規定之事件，正好提供了本研究的動機，究竟兩次交易制度的改變，分別對台灣股票市場產生何種程度的影響？本文從市場微結構的角度，試圖探討報酬率、成交量變動率、高低價差變動率、報酬率之波動度、成交量變動率之波動度等五個市場價格決定過程中的重要因素。 經過實證結果，發現對台灣股票市場的微結構產生了下列影響︰ 一、報酬率在兩次交易制度改變前後之單因子變異數分析法檢定結果均無顯著差異，以DUNCAN多重比較法檢定之結果也均無差異性。 二、成交量變動率也同樣在兩次交易制度改變前後之單因子變異數分析法檢定結果均無顯著差異，以DUNCAN多重比較法檢定之結果也均無差異性。 三、高低價差變動率在兩次交易制度改變前後之單因子變異數分析法檢定結果均有顯著差異，以DUNCAN多重比較法檢定之結果顯示，第二次交易制度改變後之高低價差變動率最大，而第一次交易制度改變後之高低價差變動率小於改變前。 四、報酬率波動度在兩次交易制度改變前後之單因子變異數分析法檢定結果均有顯著差異，以DUNCAN多重比較法檢定之結果顯示，取消台灣50指數成份股平盤下不得放空之規定後的報酬率波動度小於交易制度改變前，但取消台灣中型100指數成份股平盤下不得放空之規定後的報酬率波動度卻較交易制度改變前變大。 五、成交量變動率之波動度在第一次交易制度改變前後之單因子變異數分析法檢定結果無顯著差異，以DUNCAN多重比較法檢定之結果也無差異性。但在第二次交易制度改變前後之單因子變異數分析法檢定結果卻有顯著差異，以DUNCAN多重比較法檢定之結果顯示取消台灣中型100指數成份股平盤下不得放空之規定後的成交量變動率之波動度較交易制度改變前變小。 本研究認為開放台灣50指數成份股平盤下得放空後，高低價差變動率及報酬率波動度顯著變小，代表市場流動性增加，俱有提昇股市穩定的作用。但開放台灣中型100指數成份股平盤下得放空後，高低價差變動率及報酬率波動度卻顯著變大，代表市場品質趨於不穩定，建議主管機關可逐季參考高低價差變動率及報酬率波動度之變化，彈性調整開放台灣中型100指數成份股平盤下得放空之政策，以維護股市之穩定。
並列摘要
In May 16, 2005, the Taiwan Stock Exchange revoked the regulation which stipulates that the current selling price of the 50 benchmark companies of Taiwan 50 Index cannot be lower than that of the closing price on the previous business day. It has further revoked, starting from November 12, 2007, the regulation which stipulates that the current selling price of companies of the Taiwan Mid Cap 100 Index cannot be lower than that of the closing price on the previous business day. Based on these two events that revoke the regulations that forbide the short sale of parity price, they have neatly provided the impetus for this study. To what extent will these two changes affect Taiwan stock market in trading practice individually? From the perspective of market microstructure, the following five essential factors in the determination process of market price as (return on equity) ROE, (volume rate-of-change) VROC, high and low rates of change in spreads , the level of fluctuation in ROE, and the level of fluctuation in VROC, are explored in detail. With analysis, it was settled that there are following impacts on the microstructure of Taiwan stock market: 1. There will be no change in ROE with the two revisions in trading policy according to one-way (analysis of variance) ANOVA and (Duncan’s Multiple Range Test) DMRT. 2. Likewise, there won’t be any no change with regard to VROC with the two revisions in trading policy according to one-way ANOVA and DMRT. 3. According to one-way ANOVA, there is obvious difference in high and low rates of change in spreads with the two revisions in trading policy. DMRT analysis shows that the greatest high and low rates of change in spreads would occur after the second policy revision, while high and low rates of change in spreads is found less significant after the first policy revision than prior it. 4. According to one-way ANOVA, there is obvious difference at the level of fluctuation in ROE after the two revisions in trading policy. DMRT analysis shows that after the regulation that prohibits short sale of parity price for the 50 benchmark companies of Taiwan 50 Index was revoked the fluctuation in ROE is found less significant than before the policy revision. However, after the regulation that prohibits the short sale of parity price for companies of Taiwan Mid Cap 100 Index was revoked the fluctuation in ROE is greater than before the policy revision. 5. According to one-way ANOVA, there is no discernable difference at the level of fluctuation in VROC after the first revision in trading policy, a conclusion supported by DMRT analysis. However, there is obvious difference at the level of fluctuation in VROC after the second revision in trading policy, and DMRT analysis shows that after the regulation that prohibits the short sale of parity price for companies of Taiwan Mid Cap 100 Index was revoked the fluctuation in VROC is found less significant than before the policy revision. This study has discovered that that when the ban on short sale of parity price for the 50 benchmark companies of the Taiwan 50 Index, high and low rates of change in spreads lifted, and fluctuation in ROE lessened it indicates an increase in market liquidity, as well as stabilizing effect on stocks. However, allowing short sale of parity price for companies of Taiwan Mid Cap 100 Index, high and low rate of changes in spreads, and increased fluctuation in ROE should indicate a movement towards instability in market quality. The recommendation would be for the regulatory agencies to monitor high and low rates of change in spreads and the fluctuation in ROE on a quarterly basis so as to adjust the short sale of parity price for companies of Taiwan Mid Cap 100 Index policy as needed in order to safeguard the stability of the market.