本研究探討放空價格限制措施對證券市場的影響,進而瞭解平盤以下不得放空之機制是否應持續調整放寬標的。本研究的實證結果指出,取消放空價格限制的個股,其市場波動性顯著降低、市場流動性顯著提高、市場效率性亦顯著提升;且放空活動對市場品質具有正向的影響,顯示放空價格限制的解除對市場品質具有正向影響。再者,本研究發現,受到平盤以下不得放空限制之股票,具有較差的市場交易品質,且依公司特徵分群,亦獲得穩健性的檢測結果。最後,本文發現,在2008年全球金融風暴期間,政府的全面禁止放空措施對市場品質具負面影響。因此,本文的實證結果支持放寬平盤以下不得放空之標的,逐步取消平盤以下不得放空的限制,以增進市場交易品質,此結果可提供政府未來擬定或修改證券交易制度之參考。
This study explores the effect of short-sale price constraints on the Taiwan Stock Exchange (TWSE) and further investigates whether short-sale price constraints should be relaxed to other targets. We find that the removal of up-tick rule contributes to the decrease in market volatility, and the increase in market liquidity and efficiency, implying that the removal of up-tick rule can improve market quality. We find that stocks with up-tick rule have inferior trading quality. These results are robust even after controlling firm characteristics. Finally, we find that short sales ban on stocks during the 2008 global financial crisis is detrimental for market quality. Therefore, this provides strong evidence supporting that short-sale price constraints should be relaxed to other targets and has important implications for the government to build or revise securities trading systems in the future.