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研究生:卞瑋
研究生(外文):PIEN, WOEI
論文名稱:台灣股市樂透特性、賣空活動與股票報酬之關聯性
論文名稱(外文):The correlation between short selling and stock return among lottery-like stocks in Taiwan stock market
指導教授:王子湄王子湄引用關係
指導教授(外文):Wang, Zi-Mei
口試委員:鄭昌錞,孫育伯
口試委員(外文):Cheng, Chang-ChiunSuen, Yu-Bo
口試日期:2019-06-20
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:47
中文關鍵詞:賣空活動套利限制樂透特徵
外文關鍵詞:Short sellingArbitrage limitsLottery characteristics
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賣空交易(short selling)是投資人對未來股市抱有不樂觀的看法而進行的一種交易活動,過去文獻指出當股價超出基本價值時投資人會進行賣空交易來進行套利,讓股價返回基本面。但有學者發現當投資人進行賣空交易後股價並不會立即返回基本面,高賣空水準(high relative short interest)的股票存在著異常報酬高估(overvaluation)而低賣空水準(low relative short interest)的股票有低估(undervaluation)的現象,本研究把它稱之為賣空相關定價錯誤(short interest‐related mispricing)。後續學者提出套利限制(arbitrage limits)是影響套利者進行賣空交易的一項原因,而Kumar(2009)提出的樂透股(lottery stock)特性有可能成為套利限制。因此本研究以樂透股特性當作套利限制的代理變數,來檢測是否在台灣股市可觀察到上述現象。由於國外研究只把賣空活動區分高低,而台灣股市為淺碟型市場,因此本研究把賣空交易分成散戶融券賣空與法人借券賣空,來探討台灣股市賣空是否存在與國外研究發現的現象一致。
根據實證結果得知,把樂透股特徵視為一種套利限制時,在融券賣空可觀察到賣空相關定價錯誤的現象,在高借券賣空中亦可觀察到具有樂透特徵時的價值高估現象,但是在低借券賣空時較無法觀察到此現象。此外利用市值加權報酬估價融券賣空的異常報酬時發現較無法觀察到低融(借)券賣空的錯估現象,把市值分成大中小三組後再觀察樂透特徵異常報酬後發現低融券賣空的價值高估現象集中於小型股,而借券賣空也可觀察到集中於小型股的現象。
Short selling is a trading activity that investors have a pessimistic view of the future stock market. In the past, the literature pointed out that when the stock price exceeds the basic value, the investor will conduct short selling to carry out arbitrage and return the stock price to fundamentals. However, some scholars have found that stocks don’t immediately return to the fundamentals when short-selling trades are made. High relative short interest stocks have overvaluation and low relative short interest stocks have undervaluation. Subsequent scholars have suggested that arbitrage limits are a factor that affects arbitrageurs' short-selling transactions, and the characteristics of lottery stock proposed by Kumar (2009) may become arbitrage restrictions for arbitrageurs to trade. Therefore, this study uses the lottery feature as a proxy variable for arbitrage restrictions to detect whether the above phenomenon can be observed in the Taiwan stock market. Since foreign research only distinguishes short-selling activities, and Taiwan stock market is a shallow-disc market, this study divides short-selling transactions into short-selling and loan-selling by legal person to explore whether Taiwan stock market has the same finding with foreign studies.
According to the empirical results, when the lottery feature is regarded as an arbitrage restriction, the phenomenon of short interest‐related mispricing can be observed in the short selling, the high loan selling can observe the same phenomenon, but low loan selling can’t observe the situation obviously. When using the valued-weighted to estimate the abnormal return of short selling, it’s found that it’s difficult to observe the phenomenon in low-selling (loaning) short selling. After dividing the market value into three groups of large, medium and small, and then observe the abnormal return of the lottery characteristics, the undervaluation of the low short selling concentrated on small size stock, while the low loan selling can also be observed.
中文摘要 II
英文摘要 III
目 錄 IV
表 目 錄 VI
第一章 緒論 1
第二章 文獻探討 3
2.1賣空活動與資產定價錯誤的關係 3
2.2各類投資人賣空交易預測股價的能力 4
2.3賭博偏好與資產報酬 5
第三章 研究方法及步驟 7
3.1台灣股市融券賣空與借券賣空制度 7
3.2樣本選取與資料來源 8
3.3賣空活動與股票未來報酬的關聯 8
3.4樂透特徵對賣空水準與股票報酬的影響 9
3.4.1樂透特徵對賣空相關定價錯誤的影響 9
3.4.2穩健性檢測 11
3.5 Fama-MacBeth迴歸分析 11
第四章 實證分析 14
4.1敘述統計 14
4.2高、低賣空比率下的報酬統計 16
4.3樂透特徵對賣空相關定價錯誤的影響 18
4.4穩健性檢測 21
4.4.1 Fama French五因子 21
4.4.2 市值加權平均報酬 22
4.4.3 市值分組 23
4.5 LOTT分組下的敘述統計 26
4.6 Fama Macbeth迴歸實證 30
第五章 結論 34
參考文獻 35
一、英文部分 35
二、中文部分 39


表 目 錄
頁次
表3. 1變數定義 13
表 4-1敘述統計 15
表 4-2高、低融(借)券賣空比率下的報酬統計 17
表 4-3樂透特徵分組後之高(低)融(借)券賣空比率FFCα 19
表 4-4穩健性檢測-Fama French五因子α 21
表 4-5穩健性檢測-市值加權平均報酬之FFCα 23
表 4-6穩健性檢測-市值加權平均之報酬之Fama French五因子α 24
表 4-7 H(L)RSI_S(L) 先市值後樂透指數分組的FFCα、FF5因子α 26
表 4-8樂透指數分組下之敘述統計 28
表 4-9 Fama Macbeth迴歸分析結果 33
一、英文部分
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二、中文部分
1.陳旻暄(2013),「賣空交易對股價報酬率影響之實證研究」,國立中央大學財務金融研究所碩士論文。
2.黃致遠(2010),「法人與散戶賣空之動機及其對股票報酬影響之探討」,國立中山大學財務研究所碩士論文。
3.林怡君(2016),「台灣股市賣空共移與總和賣空交易的資訊內涵」,銘傳大學財務金融研究所碩士論文。
4.林佳卉(2017),「投資人情緒對臺灣股市投資人賭博偏好之影響」,高雄大學金融管理學系碩士班未出版碩士論文。
5.高世倫(2017),「台灣股市賣空交易與股價暴跌風險之關聯性」,銘傳大學財務金融研究所碩士論文。
6.呂侑儒(2016),「電視財經節目盤中解盤資訊、關注效果與放空活動的關聯性」。銘傳大學財務金融研究所碩士論文。
7.吳怡蓉(2015),「分析師偏空報告發佈前之資訊交易」,國立交通大學財務金融研究所碩士論文。
8.陽立昌(2014),「賣空交易對價格效率性之實證研究」,國立中央大學財務金融研究所碩士論文。
9.葉鳳琴(2003),「三大法人投資行為與加權股價指數互動關系之探討」,淡江大學,財務金融學系金融碩士在職專班碩士論文。
10.顧廣平(2017),「月營收宣告與行為偏誤」,中山管理評論,第25卷第1期,頁63-100。
11.樓楠萱(2018),「賭博偏好、交易型態與樂透股報酬共變的關聯性」,銘傳大學財務金融研究所碩士論文。
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