本研究探討信用交易股票有股價波動過度劇烈、成交量過度異常、股權過度集中等情事,應調降融資比率及調升融券保證金成數,此一信用交易控管機制對市場品質影響。 實證結果發現,標的證券在解除限制後,其波動性確實顯著降低,且流動性增加,但並不顯著,另發現解除限制後,由於市場的流動性與交易量增加,會使股價報酬變動的幅度變大,但並不顯著。 另檢驗標的證券,解除限制前後,波動性與流動性之關聯性,結果顯示,解除限制前後,標的證券的波動性與流動性均為正向關係。再者,檢驗標的證券,解除限制前後,股票報酬與流動性之關聯性,解除限制前,股票報酬與流動性為負向關係,解除限制後,股票報酬與流動性為正向關係。
In this study, the stock has price volatility of margin transactions over violent, excessive abnormal trading volume, excessive concentration of equity ownership and related matters, the margin purchase leverage limit and short sale margin requirement are adjusted, this margin transactions control mechanism impact the quality of market. Empirical results, the target stock in the lifting of restrictions, the volatility is indeed significantly reduced, and increased liquidity, but not significantly, after the lifting of the restrictions found in the other, due to market liquidity and trading volume increase will lead to changes in stock returns magnitude larger, but not significantly. Another test of the target stock, the lifting of restrictions around the volatility and liquidity of the association, showed before and after the lifting of restrictions, the volatility and liquidity of the target stock are positively correlated. Furthermore, inspection of the target stock, the correlation of liquidity and stock return, before the lifting of restrictions, the stock returns and liquidity are the negative relationship, after the lifting of restrictions, stock returns and liquidity are the positive relationship.
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