放空限制及股市價格發現功能-以台灣中型100指數為例

Abstract

本研究旨在探討台灣政府於2007年10月3日宣佈，即將於2007年11月12日豁免台灣中型100指數成份股，平盤以下不得融券賣出不得低於前一日收盤價前後，對於股市價格發現功能的影響。文中主要針對宣告日以及正式施行日的前後十個交易日之資料研究。於宣告日的前後十個交易日中，指數在宣告前與宣告後並無呈現顯著的超額報酬；但在施行日的後十個交易日中，指數呈現顯著正的超額報酬，而若以類股區分，電子類股更呈現較為顯著的正超額報酬，且其累積超額報酬不論是在宣告日或是正式施行日之後，均有顯著的正報酬。此結論顯示解除放空限制在短期中，並不會造成股價的下跌，反而造成顯著的正超額報酬。而此結論亦可作為未來政府繼續開放其餘類股的平盤下不得放空限制之參考依據。

The Government announced on October 3, 2007 that it will remove the short sales constraints of the compositions of Taiwan Mid-cap 100 Index on November 11, 2007. In this thesis, we try to analyze whether the short sales constraints caused the overvaluation of stock market by testing the abnormal returns (ARs) and cumulative abnormal returns (CARs) around announcement and effective dates. There is no significant overvaluation effect around announcement and effective date whether we apply the measurement through market model or market adjusted model. On the contrary, undervaluation of stock price was found around effective date. And stocks of electronic industry accounted the largest portion among all of the undervalued stocks. This result proves that there is no negative effect in the short term if the short sales constraints were removed. And the conclusion could be a reference for government to consider further deregulation of short sales constraints.