放空限制對投資人情緒與股市成交量及流動性之影響-以41國股市為例

Abstract

本文探討全球的41國的證券市場，包括25個有放空國家及16個無放空個國家，的投資人情緒與股市週轉率及投資人情緒與股市流動性之因果關係。

實證結果發現，過去週轉率對當期投資人情緒的影響方向並不明確，有放空國家週轉率對當期投資人情緒具正向影響的比例與無放空國家差異不大；過去投資人情緒對股市週轉率之影響多為正向，且有放空國家中投資人情緒對週轉率的正向預測性比例略高於無放空國家，符合Statman, Thorley and Vorkink (2006)的實證研究；過去投資人情緒對當期的股市流動性並沒有顯著正向影響，可能是因為各國家情緒反應在股價上所需的時間不一；過去流動性對當期投資人情緒有正的預期能力，有放空國家和無放空國家在流動性對當期投資人情緒有正向影響上比例略高。 進一步參考Fabozzi 和 Francis (1977)針對多頭和空頭市場定義，加入多空頭探討各解釋變數的影響力。實證結果顯示，投資人情緒對週轉率的影響在多頭時期較為明顯，其中又以在無放空國家中較為明顯；多頭時週轉率對投資人情緒的影響較為顯著，其中無放空國家具有正向影響的國家比例比有放空國家略高；流動性對投資人情緒以空頭影響較多，投資人情緒對流動性則是多頭影響較多，兩者都以有放空國家的影響力較強。

This study uses SUR model to examine the relationship between investor sentiment¸ turnover rate and liquidity in the stock markets of 41 countries under the short sale constraints. We divided the countries into two groups by whether short selling is practiced in the stock market. First of all, we found out that the past investor sentiment has positive impact on stock turnover rate¸while past turnover rate does not show specific direction on investor sentiment. Secondly, past stock liquidity has a positive impact on investor sentiment. Further, we use dummy variable to observe the change for the explanation ability between various variables under bull and bear market. Firstly, we found out that investor sentiment has positive impact on stock turnover rate in the bull market, which is even stronger in countries without short selling. In the same way, turnover rate also has positive impact on investor sentiment in the bull market, which is more obvious in the countries without short selling. Then, we found that liquidity has a negative impact on investor sentiment in bear market. As for the impact of investor sentiment on liquidity, there is a positive result in the bull market and is stronger in the countries with short selling.