平盤以下不得放空限制對價格形成的影響

近代的許多財務理論即是建立在效率市場假說上，但在現實上許多財務市場均存在套利的限制。我們以解除市場平盤以下不得放空之限制為一自然的實驗環境，探討該限制解除後的市場價格反應行為。同時，針對台灣50成分股於開始試行平盤以下可以放空日之前後期間的報酬及放空交易行為進行分析。結果顯示限制平盤以下不得放空，的確壓抑了放空者的需求。而平盤以下可以放空開放後並未有加重股價下跌的疑慮。其次，我們也發現股票正負報酬對市場訊息的反應在事件後更趨一致，整體價格效率性在事件後更加顯現。經由本文之分析，開放台灣50於平盤以下得以放空，有助於市場效率的增進。

關鍵字

放空限制；效率市場性；漲檔放空規定

並列摘要

While numerous contemporary finance theories are established upon the hypothesis of efficient market hypothesis, there exist various constraints on worldwide stock exchanges that limit arbitrage activities, which underlie the hypothesis. The exemption of short-sale restriction for the component stocks of the Taiwan 50 index in May, 2005 offers us a great natural experiment laboratory to examine the efficiency impact of the short-sale constraint. We find that short-sale constraint indeed depresses the demand for short selling, and the exemption of short sale constraint does not lead to significant fall on stock prices. Furthermore, information reflected through negative returns and positive returns are more in accordance with each other in the regime without short-sale constraint. The results suggest that the suspending short-sale price constraint has significantly enhanced overall pricing efficiency on the Taiwan Stock Exchange.

並列關鍵字

Short-sale Constraint ； Market Efficiency ； Uptick Rule

參考文獻

Alexander, G. J.,Peterson, M. A.(1999).Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule.Journal of Financial Intermediation.8,90-116.

Google Scholar

Alexander, G. J. and M. A. Peterson (2006), “(How) Do Price Tests Affect Short Selling?” Working Paper, Carlson School of Management, University of Minnesota.

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