情緒性指標在有放空限制下的市場實證-以台灣為例

Abstract

本文以Baker and Stein(2004)的模型設計進行實證分析，在有放空限制下的台灣股票市場是否能符合Baker and Stein(2004)所做的結論：以流動性做為情緒性指標確實能預測股價報酬。樣本研究時間為1994年1月至2009年5月。並從樣本時間中切出三段時間做制度面比較，探討在有放空限制下和無放空限制下，市場間是否有顯著的差異。 實證結果發現：以當期新股發行比率、周轉率為代表的情緒性指標對於下一期的市場報酬的相關係數均為負數。證實Baker and Stein(2004)的推論--在有放空限制的市場下，市場的高流動性是由於非理性投資者參與的緣故，當市場情緒越高，雜訊交易者會更想持有更多股票，因此交易量上升、股票周轉率增高，股票價格也因而高估，進而預期未來有較低的市場報酬。 但在以時間作切割的制度面比較的模型，相關係數彼此差異並不明顯。因此無法探究在有放空限制和無放空限制下的期間差別為何。分析原因可能為台灣信用交易制度的影響和政府長期干預股市結果，使得市場長期處於放空限制下，投資人的行為因此而受到影響

The main purpose of this study is to provide evidence of a link between investor sentiment indicators and returns in Taiwan stock market. Based on the model designed by Baker and Stein in 2004, I chose several different liquidity measures as a proxy for investor sentiment. The study sample covers the period from January 1994 to May 2009. In order to investigate the difference in outcomes between the market with short-sales constraints and the market without short-sales constraints, I divided the sample into three sub-periods. The results are shown below： First, the model features a class of irrational investors, who under-react to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, high liquidity is a symptom of the fact that the market is dominated by these irrational investors, and hence is overvalued. Second, the difference of coefficients in the three sub-periods is not obvious. Accordingly, we could not get the conclusion of the distinction between the market with short-sales constraints and the market with no short-sales constraints. I conclude that there are two possible reasons leading to the results mentioned above, one is the impact of the credit trading system and the other one being government intervention in Taiwan’s stock market.