平盤以下不得放空政策對台灣股市報酬分配之影響

Abstract

本論文探討平盤以下不得放空政策，對台股之報酬偏態、流動性以及波動性三方面之影響；平盤以下不得放空政策之效果，僅在於股價低於前一日收盤價之時才有效果，本論文藉著將交易日分類，採用bootstrap的統計方法，探討平盤限制對股票報酬率分配的效果。研究結果發現，偏態在規模為大的公司股票報酬率，有較明顯的負偏，而整體市場沒有證據支持會因平盤限制而造成任何正偏；在流動性方面，整體而言平盤限制使得市場的流動性明顯降低，尤其在較短的觀察期間內，流動性的降低更為顯著；最後波動性則沒有任何顯著的效果，代表平盤限制對於減低股市的波動性沒有幫助。

We analyze the distribution of Taiwan stock market return, to consider how short-sales restriction below the last closing price affects the skewness of return, liquidity and Volatility. This rule affects the stock market when the current price is under the last closing price. We construct a simulation of bootstrap method by classifying trading days. A common conjecture by regulators in Taiwan is this restriction can reduce negative skewness and volatility. We test this conjecture by examining skewness of individual stock returns, turnover and range of return rate. We find returns of firms in large capital size display significantly more negative skewness, but overall market makes no difference. Liquidity decreases significantly, especially in relatively short-term. However, there is no significant difference in Volatility, neither overall market nor large and small companies.