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| Title: | 有價證券借貸對借券費率與股價之影響 – 以臺灣股市為例
The Impact of Securities Borrowing and Lending on Lending Fees and Stock Prices: Evidence from the Taiwan Stock Market |
| Authors: | 蔡孟洵
Tsai, Meng-Hsun |
| Contributors: | 王國樑
余威廷
蔡孟洵
Tsai, Meng-Hsun |
| Keywords: | 有價證券借貸
借券費率
借券賣出
一般化動差法
Securities Borrowing and Lending
Lending Fee
Short-Selling
GMM |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:35:32 (UTC+8) |
| Abstract: | 本文探討臺灣有價證券借貸中借券費率與股價的影響，首先根據既有文獻將借券費率以及未來股價報酬率分別建立為兩條聯立方程式，資料取自2020至2024年證交所之借券交易，採用聯立方程組及一般化動差法進行實證分析。結果顯示，借券費率方程式中，價值因子、借券賣出使用率、借券賣出集中度與過去股價報酬率有正向影響，而市場超額報酬率、規模因子、市值、成交量動能與外資持股比例有負向影響；未來股價報酬率方程式中，規模因子、成交量動能與外資持股比例有正向影響，而借券費率、市場超額報酬率、價值因子與借券賣出集中度有負向影響。值得注意的是，借券費率對未來股價報酬率呈現顯著負向關係，顯示費率上升可有效預示股價後續下跌的可能性，具有跨期價格預測力。此一結果亦說明，市場應關注借券行為是否反映對後市之偏空預期，而主管機關於市場疲弱時實施限空，亦具一定政策合理性與實務基礎。
This study investigates the impact of securities borrowing fees on stock prices in Taiwan's securities lending market. Based on existing literature, two simultaneous equations are constructed to model borrowing fees and future stock returns, respectively. Using lending transaction data from the Taiwan Stock Exchange covering the period from 2020 to 2024, the analysis is conducted through a system of simultaneous equations estimated via the Generalized Method of Moments (GMM). The results show that in the borrowing fee equation, the value factor, short selling utilization rate, short selling concentration, and past stock returns have significant positive effects, while market excess returns, the size factor, market capitalization, volume momentum, and foreign institutional ownership have significant negative effects. In the future stock return equation, the size factor, volume momentum, and foreign institutional ownership exhibit significant positive effects, whereas borrowing fees, market excess returns, the value factor, and short selling concentration exert significant negative influences.
Notably, borrowing fees show a significant negative relationship with future stock returns, indicating that rising fees effectively signal a higher likelihood of subsequent price declines and possess intertemporal predictive power. This finding suggests that market participants should pay close attention to securities borrowing activity as a potential indicator of bearish expectations. Moreover, it implies that the implementation of short-selling restrictions by regulatory authorities during periods of market weakness carries a certain degree of policy justification and practical relevance. |
| Reference: | 英文參考文獻
1. Beber, A., & Pagano, M. (2013). Short-selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343–381.
2. Beneish, M. D., Lee, C. M. C., & Nichols, D. C. (2015). In short supply: Short-sellers and stock returns. Journal of Accounting and Economics, 60(1), 33–57
3. Boehmer, E., Jones, C. M., & Zhang, X. (2008). The good news in short interest. Journal of Financial Economics, 88(2), 485–500.
4. Chen, S., Kaniel, R., & Opp, C. C. (2023). Market power in the securities lending market. Unpublished working paper, Purdue University and University of Rochester.
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10. Kaplan, S. N., Moskowitz, T. J., & Sensoy, B. A. (2010). The effects of stock lending on security prices: An experiment. Unpublished working paper, University of Chicago Booth School of Business.
11. Palia, D., & Sokolinski, S. (2021). Strategic borrowing from passive investors: Implications for security lending and price efficiency. Unpublished working paper, Rutgers Business School and Columbia Law School.
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中文參考文獻
1. 李志宏與徐正義（2013），我國證券借貸相關制度對集中市場之影響，國立政治大學（臺灣證券交易所委託研究計畫期末報告），頁 86-88。
2. 李甜琇（2017），臺灣有價證券借貸交易市場借券成交與借券賣出股價變化之影響，國立臺北大學碩士論文。
3. 曾郁芳（2010），證券借貸市場借券費率決定因子：以臺灣借券資料之實證，國立臺北大學碩士論文。
4. 楊馥慈（2019），借券費率對未來股票報酬率之影響，國立中央大學碩士論文。
5. 薛登霖（2020），證券商借券需求對股票報酬率之影響，國立中央大學碩士論文。
6. 陳俊皓（2024），流通證券、活絡經濟—臺灣有價證券借貸市場20年回顧，臺灣證券交易所。
7. 蒙瑞齊（2021），放空交易與股票報酬率關係，TEJ E Journal，第152期，頁129-138。
8. CMoney 法人決策資料庫。
9. 臺灣證券交易所借券資訊。 |
| Description: | 碩士
國立政治大學
經濟學系
112258028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258028 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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