放空限制下美國銀行業無流動市場效率性

Abstract

本研究主要探討2008年金融危機後放空限制下美國銀行業市場效率性，擬藉由買賣單不對稱探討其與股票報酬之間關係和造市者的行為，並且進一步確認放空限制對市場流動性的影響，最後再利用買賣單不對稱建立交易策略以在股票市場中創造超額報酬。我們利用OLS模型分別將前期與當期買賣單不對稱作為自變數以解釋在放空限制下的股票報酬及市場流動性，接著再利用GARCH (1,1) 修正OLS模型的假設並利用買賣單不對稱解釋股票報酬與變異性，最後藉由前10%買賣單不對稱的交易策略嘗試擊敗大盤。

實證結果顯示放空限制下 (1) OLS模型前期買賣單不對稱統計上與股票報酬正相關降低但係數上升 (2) OLS和GARCH (1,1) 模型當期買賣單不對稱統計上與股票報酬正相關提升 (3) GARCH (1,1) 模型證明買賣單不對稱不會對股票報酬波動造成影響 (4) 前10% 買賣單不對稱交易策略可有效擊敗大盤且效果比無放空限制下顯著。交易策略結果證明以美國銀行業為樣本的市場在放空限制下效率性大幅降低。

In this paper, we implement order imbalance as the proxy of trading activities under short-sales restriction in 2008 by employing OLS and GARCH (1,1) model. The main purpose of our study is to investigate the dynamical relationship between market efficiency, liquidity, and the reaction adopted by market makers. Then, we employ order imbalance to form a trading strategy trying to beat the market, which explicitly demonstrates the validity of market efficiency. Our empirical results show that under the short-sales restriction, (1) the predictive power of OLS lagged one order imbalance actually shows a decline while the percentage of positive lagged-one order imbalances goes up to 100% (2) the positive explanatory power of OLS and GARCH (1,1) contemporaneous order imbalance goes up (3) order imbalance have no impact on the volatility of stock return (4) top 10% order imbalance trading strategy can effectively beat the market and has better performance relative to the period without short-sales restriction, which further indicates the market is inefficient.