臺灣博碩士論文加值系統

本論文主要是利用台灣50成分股來探討放空限制對於股票價格行為的影響。政府為了讓台灣證券市場更自由化，於2005年5月16日開放台灣50成分股平盤以下可以放空，此一交易制度的改變是否會造成市場更具效率性是一個有趣的課題，因此本研究利用2005年5月16日為事件日，探討放空前後兩年期間台灣50成分股當中的33種存續股票的價格行為是否有改變。本研究採用判定係數、交叉自我相關、累積異常報酬CAR、T檢定進行實證分析。

實證結果發現：（1）在事件日前期的R2 顯著高於後期的R2 ，同時，個別股票報酬與前一期市場報酬的交叉自我相關係數在事件日前期也是顯著高於後期，此結果符合在限制放空下，證券市場不利於資訊的傳遞而延遲價格發現的假說。 （2）在股票價格大跌後，觀察事件日前後期連續3日的累積異常報酬，發現並無顯著差異，此結果並不支持放空限制下會有價格高估的情形。然而，若將第一天的異常報酬分成隔夜報酬與隔日報酬來分析，發現前期的隔夜報酬顯著低於後期的隔夜報酬，而隨之而來的隔日報酬卻是前期顯著高於後期。此結論顯示在放空限制下，投資者對於不利消息會有過度反應，造成隔夜報酬超跌而隔日報酬有反轉的現象。

This study examines the impact of short sale constraints on stock price behavior using data from the Taiwan Stock Exchange. The data involves 33 constituent stocks of the Taiwan 50 index fund over the 480 days in both the pre- and post-period surrounding the lift of the uptick rule effectively on May 16, 2005. The results indicate that the R2 estimated from the market model is significantly higher in the pre-period than that in the post-period. Similarly, the cross-autocorrelation between the individual stock returns and the lagged market returns is significantly higher in the pre-period than that in the post-period. The results are consistent with the delayed price discovery hypothesis in that short sale constraints delay the incorporation of information into securities prices.
Moreover, there is no significant difference in the 3-day cumulative abnormal returns between the pre- and the post-period following large price declines. The results do not support the overvaluation hypothesis which predicts a significant overvaluation in the pre-period when the uptick rule is imposed. However, the empirical results indicate a significantly negative overnight abnormal return following the large price decline in the pre-period than that in the post-period, followed by a significantly positive trading-time abnormal return in the pre-period than that in the post-period. The results are consistent with the hypothesis that investors overreact to bad news in the presence of short sale constraints, followed by a price reversal in the subsequent trading-time period.

Abstract (in Chinese)…………………………...……………………..I
Abstract (in English).............................................................................II
Acknowledgments (in Chinese)…….…………………..……….......IV
Contents………………………………….……………………...…….V
List of Tables………………………………………………………………….VII
List of Figures…………………………………………………………...…..VIII
Chapter 1 Introduction…………………………… …………………..…….1
1.1 Research background…………………………… …………...………..…..1
1.2 Motives and Purposes…………………………… …...………………..….3
1.3 Outline of the dissertation…………………… ……………………............5
Chapter 2 Literature Review.........................................................................6
2.1 Short Sales in the Taiwan Stock Market..……… ……………………..…..6
2.2 Short Sale constraints and Price Discovery………………...……..……….9
2.3 The difference of opinions……………………………………………….. 15
2.4 Comments on previous research…………………………………………. 18
Chapter 3 Institutional background and Research Design.............. 19
3.1 Institutional background...……………………………………………….. 19
3.2 Hypotheses…………..…………………………………………………… 21
3.3 Data ..……………………….…………………….……………………… 23
3.4 Measurement of variables…………………….………………………….. 27
Chapter 4 Empirical results ..…………………..……………………..…. 34
4.1 The efficiency of price discovery….…………………………………...... 34
4.2 The overvaluation hypothesis……………………………………………. 45
4.3 Sensitivity analysis..................................................................................... 51
4.4 Discussion……………………………………………………………….. 55
Chapter 5 Conclusion and future research…………………………… 57
5.1 Conclusion……………………………………………………………….. 57
5.2 Suggestions for future research…………….……………..……………… 58
References……………………………………………………………………... 59
Appendix………………………………………………………………………. 63
About the Author……………………………………………………………. 72

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