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| Title: | 融券保證金成數、融券利率與股價之動態調整：小型開放經濟的分析
Margin Percentage for Short Sale, Interest Rate on Short Sale, and Stock-price Dynamics: A Small Open Economy Analysis |
| Authors: | 宋柏叡
Sung, Bo-Ray |
| Contributors: | 賴景昌
Lai, Ching-Chongh
宋柏叡
Sung, Bo-Ray |
| Keywords: | 禁（限）空令
利空
融券
股價
匯率
政策宣示
動態調整
Policy of limit shorting
Bear market
Short selling
Stock price
Exchange rate
Policy announcement
Dynamic adjustment |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:43:09 (UTC+8) |
| Abstract: | 本文以簡化模擬金管會於2022年10月21日頒布的禁（限）空令為目標，利用Blanchard (1981) 的模型架構，建構一個小型開放經濟體系，與Blanchard (1981) 模型不同的是，為了令模型能夠更貼近禁（限）空令頒布時的背景，除了將外匯市場代入模型之外，也適當的調整股票市場的假設，使其符合「利空(bad news)」的條件。另外，為了能專注探討本文主軸即禁（限）空令的內容，故將民眾參與融券之行為納入股票市場，引入融券保證金及融券利率等兩大融券要素，在本國債券、本國股票與外國債券為完全替代資產的假設下，建立一個涵蓋商品、債券、股票與外匯等四個市場的開放經濟模型。最後，利用上述所建構的模型討論在政策改變下，理性的民眾將如何調整手中的資產。
根據本文的研究，可發現（一）若調高融券保證金成數，將使股價上升，匯率不變，且長短期變化方向相同，不會產生錯向調整。（二）若提高融券利率，將使股價下跌，匯率不變，且長短期變化方向相同，不會產生錯向調整。（三）若外國政府執行緊縮貨幣政策，提高外國利率，在假設只能進行融券行為的「利空(bad news)」情況下，將使股價上漲，匯率提高，且長短期變化方向相同，不會產生錯向調整，其中股價可能會出現過度調整（overshooting）。（四）政策宣示當下，民眾的預期會隨即改變，使匯率與股價在政策宣示當下產生跳躍式的改變，但若宣示與政策的時間相距很久，則反映幅度相對較小，但在政策執行前一瞬間就會先反應至長期均衡。
The purpose of this thesis is to simulate of the policy of limit shorting issued by the Financial Supervisory Commission on October 21, 2022. This paper analyzes the announcement effect of margin percentage and interest rate on short sale on the basis of Blanchard (1981) model. Different from the model of Blanchard (1981), the trade mode of short selling is imported in order to get closer to the background of the time and space. Under the assumption of the bear market and that domestic stock, domestic bond, and foreign bond are perfectly substitutable assets. We created a small open economy model covering commodity market, bond market, foreign exchange market and stock market. Finally, we discuss how the policy announcement effects human`s behavior on their asset allocation, resulting in the variation of stock prices and exchange rates. Several main findings emerge from the analysis. First, the effect of margin percentage for short sale on the long-run stock price is positive but doesn’t affect exchange rate. Second, the effect of interest rate on short sale for short sale on the long-run stock price is negative but doesn’t affect exchange rate. Third, under the premise of short selling function, both the long-run stock price and exchange rate mark up by raising foreign interest rate. Fourth, the policy announcement formulated by the government will change public expectations so that the stock price will respond immediately, and moreover, both the long-run stock price and exchange rate will react before the policy implementation. Additionally, the longer the interim is between policy announcement and implementation, the less reaction there are for the long-run stock price and exchange rate. |
| Reference: | 第一節 中文部分
朱美麗、曹添旺（1987），「產出水準、股票市場與匯率動態調整」，《經濟論文叢刊》，第15卷，第二期，頁45-49。
朱美麗、曹添旺（1990），「貨幣政策、匯率與股價的動態調整－理性分析與模擬驗證，《經濟論文叢刊》，第18卷，第四期，頁449-466。
孫玉峰、胡士文（2006），「農業生物科技補貼政策與農業內生成長：環保內生成的應用」，《農業經濟半年刊》，第八十期，23-58。
陳師孟（1990），《總體經濟演義》。台北：自行出版。
陳則忠（1998），「融資成數與股價的動態調整」逢甲大學經濟研究所碩士論文。
張立忠（2001），「融券保證金成數、融券利率、證券交易稅與股價的動態調整」國立台北大學經濟學研究所碩士論文。
莊竣傑（2015），「扣抵稅額比率與股價的動態分調整」國立中山大學經濟研究所碩士論文。
賴景昌（1994），《國際金融理論-進階篇》。台北：茂昌圖書有限公司。
賴景昌（2007），《國際金融理論-基礎篇》。台北：華泰圖書有限公司。
賴景昌（2020），「理性預期」、「宣示效果」，研究所講義。
謝凱勵（2016），「預料到的政策與股價的動態調整：小型開放經濟的分析」國立中山大學經濟研究所碩士論文。
第二節 西文部分
Aoki, M. (1985), “Misadjustment to Anticipated Shocks: An Example of Exchange-Rate Response”, Journal of International Money and Finance, 4:415-420.
Blanchard, O, J (1981), “Output, the Stock Market, and Interest Rates,” American Economic Review, 71:132-143.
Chang, W. Y. and Lai, C. C. (1997), “Election Outcomes and the Stock Market: Further Results, “European Journal of Political Economy, 13:143-155.
Gavin, M. (1989), “The Stock Market and Exchange Rate Dynamics,” Journal of International Money and Finance 8:181-200.
Dornbusch, R. (1976), “Expectation and Exchange Rate Dynamics,” Journal of Political Economy 84:1161-1176.
Van der Ploeg, F. (1989), “Election Outcomes and the Stock Market,” European Journal of Political Economy, 5:21-30.
Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory,” Journal of Money, Credit and Banking, 1:15-29 |
| Description: | 碩士
國立政治大學
經濟學系
110258029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110258029 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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