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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30990


    Title: 放空限制，價格發現與市場效率公正性-以台灣50ETF為例
    Short Sales Constraint, Price Discovery, Market Efficiency and Fairness-Taiwan Top50 Tracker Fund
    Authors: 顏珮儒
    Yen,Pei Ru
    Contributors: 劉玉珍
    Liu,Yui Jane
    顏珮儒
    Yen,Pei Ru
    Keywords: 放空限制
    台灣五十ETF
    short sales constraints
    TWN50
    ETF
    Date: 2006
    Issue Date: 2009-09-14 09:01:07 (UTC+8)
    Abstract: 世界各證券市場對於放空交易都有放空限制，然而對於ETF則不作放空限制，此乃因為ETF透明度與流動性相較一般證券高，交易管理上可與指數期貨同。而ETF對於放空市場之所以重要，主要在於它本身豁免於放空限制，使市場多頭空頭結構完整，投資人有管道可以充分反映對於該股所掌握的消息，一但價格偏離基金淨值，投資人也可以透過申購買回策略進行套利，最終結果為ETF價格貼近於基金淨值，股價維持合理價位。當市場股價都能充分反應多空消息，市場效率性將提升，對健全台灣證券市場並往金融自由化前進的一大步，而主要關鍵點便在於完善的賣空機制。
    本文主要以台灣50ETF本身豁免平盤以下不能放空這特殊優勢出發，並以台灣五十指數及台灣50ETF實際日交易資料及日內交易資料，運用「事件研究法」，期間以「台灣50ETF上市」及「台灣五十個股豁免融券放空」兩事件為主，觀察存在放空限制與解除放空限制前後期，在價格高估與價格效率性變化情形，此外，也觀察解除放空限制期間對台灣50ETF的影響，以及推估該限制對台灣50ETF放空交易者的放空行為在前後期變動。最後，也針對台灣50ETF本身豁免平盤以下放空限制主要原因在於流動性與透明度足夠，監理機構控管容易，進一步探討如何增加台灣證券市場個股資訊透明度，且該透明度足夠讓個股同樣可從事放空交易，進而促使股價合理化，台灣證券市場的公正度與效率性平衡發展。
    <br>主要研究結果摘要如下:
    1.台灣50ETF法人放空交易者在2005年台灣五十個股豁免放空限制時積極從事實物申購買回套利動作，信用交易量值減少，相對較不活絡。主要原因以往只有ETF可以放空，五十個股豁免後，投資人更有管道從事放空交易。
    2.個股豁免放空限制實施對台灣50ETF報酬變動影響在短天期較為顯著。
    3.台灣50ETF在兩階段放空限制實施後，價格高估可能性均下降，存在放空機制使ETF市場價格效率提升，在短期間(三個月期)效果較為顯著。
    4.放空限制的進一步放寬(2005年)，台灣50ETF賣空交易張數比例(交易量)在事件過後沒有增加，表示放空交易者沒有增加對於交易的需求。此外，我們也沒有發現強而有利證據證明取消放空限制在尾盤會出現賣壓現象。
    To some extent, almost all stock markets locate short-sell constraints on the short selling transactions process; however, they never do so to ETF thanks to its higher transparency and liquidity making it an easy supervised equity. Further, ETF could be considered as a good implication for the stock market simply owing to its exemption from short sell constraints that brings a strong demand and supply structure In other words, if the ETF price is not equal to its fund NAV (net asset value), investors could make profits by buying back or selling ETFs; in the long run, the price will reverse to its NAV and maintain on a reasonable level. As a result, we could infer that if the price could fully reflect investors’ diversified opinions, the market will be more efficient, and we could expect Taiwan stock market to forge ahead soon. Hence, the key issue lies in a healthy short selling mechanism.

    This paper tries to figure out whether short sell constraints on Taiwan stock market have significant influence on stock price and price efficiency. We use Taiwan50 index and TW50 ETF daily and intraday data from TEJ database, employee Event Study Method, select two dates as our event date which are “the listed date for TW50 ETF,” and “Taiwan 50 stocks exemption from short selling regulations,” and try to examine the difference before and after the date. Additionally, by summarizing and analyzing the trading frequency changes before or after the periods, we try to understand and estimate how the short sellers trading behavior would vary due to the implementation of regulation.
    <br>The conclusion of this paper is summarized as follows:
    1.Consistent with our assumptions, the institutional investors increased their TW50 ETF purchasing or selling transactions rather than credit transactions after the date when appointed 50 stocks has been exempted from short selling regulations, in other words, investors could only sell short ETF to express their negative opinion toward those 50 stocks and get partially reaction.
    2.The exemption policy has a significant effect on TW50 ETF in short term.
    3.The two stage of exemption policy has decreased the possibility of price overvaluation and increased the price efficiency of TW50ETF in the short term.
    4. We find that the short sell transactions ratio (or the volume) decreased after the second stage of exemption, which means short sellers did not increase their transaction needs.
    Reference: 中文文獻
    1.王正裕，「台股指數期貨交易對現貨市場波動性之影響」，成功大學國際企業研究所碩士論文，民國90 年6月。
    2.吳佳慧，「臺灣證券交易所臺灣50 指數簡介」，證券暨期貨管理，民國91 年12月。
    3.陳怡婷，「台灣個股與股價指數放空管道及放空成本之研究」，台灣大學財務金融研究所碩士論文，民國92 年6月。
    4.王林弘，「平盤以下不得放空政策對台灣股市報酬分配之影響」，台灣大學財務金融研究所碩士論文，民國93 年6月。
    5.台灣證交所有價證券借貸制度介紹，2003，台灣證交所結算部。
    6.林信宏，「取消臺灣50 指數成分股融券賣出價格限制」實施檢討報告，台灣證交資料，民國94 年11月。
    7.臺灣證券交易所網站。http://www.tse.com.tw。
    英文文獻
    1.Miller, Edward M., 1977, “Risk Uncertainty, and Divergence of Opinion”, Journal of Finance, 32, 1151-1168.
    2.J. Michael Harrison, David M. Kreps, 1978, “Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations”, The Quarterly Journal of Economics, Vol. 92, No. 2 (May, 1978), pp. 323-336
    3.Jarrow, Robert, 1980, “Heterogeneity, Restriction on Short-sales, and Equilibrium Asset Prices”, Journal of Finance, 35, 1105-1113
    4.Diamond, Douglas W. and Robert E. Verricchia, 1987, “Constraints on Short-Selling and Asset Price Adjustment to Private Information”, Journal of Financial Economics, 18, 277-311.
    5.Figlewiski, Stephen and Gwendolyn P. Webb, 1993, “Option, Short-sales, and Market Completeness”, Journal of Finance, 48, 761-777
    6.D’Avolio, G., 2002, “The Market for Borrowing Stock”, Jounral of Financial Economics 66(2-3), 271-306
    7.Jones, Charles M.& Owen A.Lamont,2002, "short-sale constraints and stock returns", Journal of Financial Economics 66, 207-239
    8.Hong, Harrison and Jeremy Stein, 2003, “Differences of Opinion, Short-sales Constraints, and Market Crashes” Review of Financial Studies, 19, 487-525
    9.June 2003, “Report on Transparency of Short Selling”, IOSCO report.
    10.Chang, Eric C. and Yinghui Yu, 2004, “Short-Sales Constraint and Price Discovery: Evidence from the Hong Kong Market” presented in International Conference on Finance 2005, Taipei, Taiwan.
    11.Bris, Arturo, William N. Goetzmann, and Ning Zhu, 2004, “Efficiency and the bear: short sales and markets around the World”, Working paper.
    Description: 碩士
    國立政治大學
    財務管理研究所
    94357005
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094357005
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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