臺灣博碩士論文加值系統

在民國八十七年亞洲金融風暴的影響下，導致全球股市大幅下跌，國內企業發生危機，政府為避免融券放空者加深股市的下跌，造成股市疲弱不振及提升投資者信心，於八十七年九月三日傍晚宣布，九月四日實施平盤以下不得放空之規定，函令融券賣出的價格，均不得低於前一營業日的收盤價。
但使用信用管制政策限制市場的買賣行為，其影響是否真有效果仍有爭議。在中華民國券商公會數次提案及投資大眾要求放寬融券管制的情況下，主管機關考量國內投資環境，於九十四年四月一日宣布開放50成分股平盤以下得融券放空，於同年五月十六日正式實施。投資人可直接於股票市場放空50成份個股，亦即提供投資大眾另一種避險與套利管道的選擇，投資人的投資行為也可能會因此受到影響，導致其他相關的金融商品的買賣行為產生變化。本文旨在研究探討開放此一政策對於上市即可融券放空台灣50ETF所造成的衝擊影響為何。
本研究使用日資料，於民國九十三年十一月十六日至九十四年十一月四日研究期間內，藉由單根檢定、ARCH-LM檢定及GARCH和EGARCH模型，檢測放寬平盤以下得融券政策對台灣50ETF報酬率與波動性的影響效果。本研究發現在GARCH和EGARCH兩模型下，放寬政策對ETF報酬率皆無顯著影響，但對ETF報酬率之波動性則有顯著負向影響，此研究結果顯示在不影響報酬率的情況下，放寬台灣50成分股平盤以下融券交易政策實施後，對台灣50ETF可降低其波動性。

During the Asian financial crisis of 1998, the stock markets all over the world crashed. Companies in Taiwan were also in deep crisis. To prevent the stock market from falling further and to keep the investors’ confidence, in the evening of Sep. 3, 1998, Taiwanese government imposed a new regulation, effective on Sep 4. 1998: short selling is prohibited when the stock price is lower than the previous closing price.
However, it was controversial to adopt the margin trading policy to limit the investors’ behavior of buying or selling stocks. Investors and the Taiwan Securities Association repeatedly call for relaxing the restriction. Having considered the change of the investment environment, the government decided to allow investors to sell short of the ETF 50 stocks even when their prices are falling. The policy was announced on Apr. 1, 2005 and was effective on May 16, 2005. This policy could somehow influence the investors’ decisions, and moreover, cause a series of effects on various trading behaviors. The goal of this study is to look into these impacts.

The period of the data adopting in this study was from Nov. 16, 2004 to Nov. 4, 2005. The econometric models mainly include Dickey-Fuller Test, ARCH-LM Test, GARCH and EGARCH models, which are used to examine the impacts of loosening restrictions of short selling on Taiwan Top 50 Tracker Fund. We discovered that there is no significant influence to the return of ETF under the two models, but there is a significant influence to the volatility of ETF. Hence, we believe that if the policy of loosening restrictions of short selling on Taiwan Top 50 Tracker Fund is valid, short sales can reduce the volatility of ETF while the return is not affected.

目錄 Ⅰ
表目錄 Ⅲ
圖目錄. Ⅳ

第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 10
第三節 研究範圍、研究架構與流程 .11
第貳章 ETF簡介及發展現況 14
第一節 台灣50ETF介紹 14
第二節 ETF發展現況 22
第參章 文獻回顧 28
第一節 ETF相關文獻 28
第二節 探討融券放空限制文獻 34
第肆章 研究方法 47
第一節 研究樣本及資料來源 47
第二節 時間序列研究方法 47
第伍章 實證結果分析 56
第一節 時間序列研究方法之實證結果分析 56
第陸章 結論與建議 63
第一節 研究結論 63
第二節 研究限制與建議 64
參考文獻 66
參考網站 72
附錄一 公眾流通量的意義 73
附錄二　九十六年第四季台灣50成分股一覽表 75

一、中文部分
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2、台灣證券交易所（2005），證券商辦理有價證券買賣融資融券業務訓練教材，94年6月，4-5頁。
3、吳柏炘（2004） ，ETF的價格發現與市場整合-以美國證交所上市之QQQ及ISHARE EWT為例，南華大學財務管理研究所碩士論文。
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5、柯如鳳（2007），豁免融券賣出不得低於前一營業日收盤價對市場品質之影響-以台灣50指數成分股為例，國立中央大學財務金融學系碩士在職專班論文。
6、洪惠娟（2003），S＆P500指數、期貨與ETF價格發現之研究，私立淡江大學財務金融研究所碩士論文。
7、馬思慧（2006），開放台灣50指數成分股平盤以下融券交易對股票市場報酬率、波動度與週轉率之影響，銘傳大學財務金融學系碩士班論文。
8、唐婉崴（2003），指數現貨、指數期貨與指數股票式基金間價格發現能力之探討－以NASDAQ 100指數商品為例，淡江大學財務金融學系博士論文。
9、張元鴻（2006），解除融券放空限制後資訊內涵與資訊效率變動之實證研究，國立高雄第一科技大學財務管理所碩士論文。
10、張浴澤（2003），指數股票型基金之個案研究-兼論台灣發展其他ETF之可行性分析，台灣科技大學管理研究所碩士論文。
11、陳正斌、葛思惠（2001），ETF在台灣發行交易之可性研究，台灣證券交易所企畫部研究報告。
12、陳龍志（2004）台灣50指數、期貨與ETF價格發現功能之比較，南華大學財務管理研究所碩士論文。
13、陳麗玲（2007），發展多元化ETF商品–談國內投信基金相關法規之修正，證券暨期貨月刊，第二十五卷第八期，52-57頁。
14、楊奕農（2005），時間序列分析-經濟與財務上之應用，雙葉書廊。
15、葛思惠（2001），ETF（股票指數式基金）上市交易規劃報告，台灣證券交易所企畫部研究報告。
16、詹孟書（2001），開放資券相抵與平盤下限制融券對股市之影響，銘傳大學金融研究所碩士班論文。
17、潘硯雪（2004），台灣50指數ETF上市對市場品質影響之研究，雲林科技大學財務金融碩士班論文。
18、蔡佩雯、李禹慧（2007），以海外股價指數發行ETF之架構，證券暨期貨月刊，第二十五卷第八期，30-34頁。
19、謝文良（2002），價格發現、資訊傳遞與市場整合-台股期貨市場之研究。財務金融學刊，第十卷第三期，1-31頁。
20、鍾惠民、吳壽山、周賓鳳、范懷文（2000），財金計量，雙葉書廊。
21、顏珮儒（2006），放空限制，價格發現與市場效率公正性-以台灣50ETF為例，國立政治大學財務管理研究所碩士論文。


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