放空限制對股市的影響

Abstract

本研究主要是探討放空限制對股市的影響。台灣市場在近年來對於放空限制—“平盤之下不得放空限制”的取消，正好可以提供一個很好的研究環境。民國九十四年五月十六日豁免台灣五十指數成分股，融券賣出價格不受限制。民國九十六年十一月十二日豁免台灣中型一百指數成分股，融券賣出價格不受限制。這兩次放空限制的取消，發生在不同的市場情況，前者是多頭，後者走空頭，正好可以作為實證研究最好的樣本。研究結果顯示，放空限制取消之後，股票的買賣價差縮小，波動性沒有太大的改變。因此，放空限制取消，並未如有關當局所擔心的會使市場不穩定。

This study investigates the effect of short sale restrictions on stock market using a regulatory change in the tick rule on the Taiwan Stock Exchange. The sequential tick-rule removal enables the empirical study on how the short-sale tick rule impacts the market by examining changes in market quality measures after the removal of the tick rule under different market conditions. The empirical evidence shows that spreads get narrower and volatilities do not increase for the test stocks relative to the control stocks. It implies that the removal of the tick rule does not destabilize the market.