賣空交易對價格效率性之實證研究

An Empirical Study of Short Selling on Price Efficiency

楊立昌(Li-chang Yang)

指導教授 ： 高櫻芬

國立中央大學/管理學院/財務金融學系/碩士(2014年)

摘要

本文探討在2006年到2012年期間，在台灣50指數成分股公司進行賣空交易對價格效率性的影響。本研究使用三種衡量價格效率性的指標，並依交易者類型將賣空交易分為一般投資人的融券賣出與機構法人的借券賣出。實證結果發現機構法人為有資訊的交易者，當機構法人進行愈多的借券賣出，將促使股價回到基本價值，也就是價格更有效率性；然而，一般投資人進行融券賣出並沒有顯著提升價格效率性。此外，當投資人對大型股進行賣空，將有助於降低股價的分歧程度，使得價格更有效率性，而投資人的交易成本愈低時，也有助於提升價格效率性。

關鍵字

賣空交易 ； 價格效率性

並列摘要

This thesis explores the impact of short selling on price efficiency for the compositions of Taiwan 50 Index during the period from 2006 to 2012.This study uses three indicators to measure price efficiency, and short selling is divided into general investor’s short selling and institutional investor’s short selling according to different type of the traders. The empirical results show that institutional investors are informed traders. When institutional investors take more short selling, it will facilitate stock price return to fundamental value. In other words, the price is more efficient. However, general investors take short selling do not significantly improve price efficiency. In addition, when investors take short selling for large stocks, it will help to reduce the extent of price discreteness, making the price more efficient; when the transaction costs are lower, it will help to enhance price efficiency.

並列關鍵字

Short selling ； Price efficiency

參考文獻

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