臺灣博碩士論文加值系統

證券放空交易活動，是指一般投資者在預期股價將下跌時
向證券商借入並賣出的行為。在臺灣的放空交易市場，主要分 有兩個進行放空交易的管道，分別為以散戶為主要交易人的融 券制度以及以機構投資人為主要交易人的借券制度，透過臺灣 特殊的放空交易市場，本文根據過去文獻將資料分類為流量與 存量，分別從基本面、技術面、市場面以及股權面進行放空交 易人進行放空交易時的行為研究以及決定標的的因素。
經過實證研究，本文發現無論流量或者存量對於兩種管道 的放空交易人，股價淨值比以及股價淨值比大於一的標的都存 在著高度的顯著水準，而技術層面顯示出的結果說明了機構投 資人在進行放空交易時，謹慎程度高於一般散戶投資人。而市 場層面，本文則發現了週一效應與跌破五日均線兩個變數在流 量及存量方面都受到兩種管道投資人高度的重視。最後，在股 權方面，本文與過去的實證結果一致，在流量方面，機構投資 人較重視外資持股、投信持股以及董監持股比率，而存量方 面，則為無論何種管道的投資人對於外資持股、投信持股、自 營商持股三比率都高度重視。

Short selling activity refers to the behavior of the average investor borrowing from a securities dealer when the stock price is expected to fall, and then make up for it when the stock price reaches a low point. In Taiwan’s short selling market, there are two main channels for short selling, namely the securities lending system with retail investors as the main trader and the securities lending system with institutional investors as the the main trader. Through Taiwan’s special short selling market, this article categorizes data into short flow and short interest based on past literature and determing the underlying factors from the fundamental.
After the research, this article found that regardless of short flow or short interest for short traders in the two channels, the book-to-value ratio and the ratio of the subject greater than one has a high level of significance, and the results shown on the technical level indicate that institutional investors when conducting short selling, the degree of caution is higher than that of ordinary retail investors. At the market level, this article found that the two variables, the Monday effect and the MA5 lines, are highly valued by investors in both channels in terms of short flow and short interest. Finally, in terms of equity, this article is consistent with past empirical results. In terms of short flow, institutional investors pay more attention to foreign investor’s shareholding ratio, investment trust’s shareholding ratio, and the director-supervisory shareholding ratio. In terms of short interest, investors regardless of channel attach great important to the three ratios of foreign investor’s shareholding ratio, investment trust’s shareholding ratio, and proprietary ownership ratio.

中文摘要 ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ i
英文摘要 ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ ii
致謝辭 ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ iv
目錄 ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ v
第一章 緒論‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 1
第一節 研究背景與動機‧‧‧‧‧‧‧‧‧‧‧‧ 1
第二節 研究問題與目的‧‧‧‧‧‧‧‧‧‧‧‧ 2
第三節 研究架構與流程‧‧‧‧‧‧‧‧‧‧‧‧ 3
第二章 文獻探討‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧ 6
第一節 臺灣放空市場的概況‧‧‧‧‧‧‧‧‧‧‧‧‧ 7
第二節 放空交易對市場的重要性‧‧‧‧‧‧‧‧‧‧ 8
第三節 放空交易的決定因素‧‧‧‧‧‧‧‧‧‧‧‧ 9
第三章 研究方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧12
第一節 樣本來源‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧12
第二節 研究方法與變數定義‧‧‧‧‧‧‧‧‧‧‧‧13
第三節 實證模型‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧17
第四章 實證結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧20
第五章 結論‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧29
參考文獻 ‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧31

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