台灣信用交易市場於2003年6月由證券交易所設立「借券中心」，2007年7月，參與機構資格加入證券商及證券金融公司，台灣金融體系成員均納入證券借貸架構之中，對股市的影響亦逐漸擴大。本論文探討台灣借貸市場競價交易之借券費率，引用相關文獻中的影響因子，以台灣集中式借貸市場資料進行實證。 基於放空對股價影響、放空限制、證券借貸市場三方面文獻，本論文提出借券費率與放空限制及分歧意見程度為正相關，而與機構投資人持股比例、公司規模、淨值市價比為負相關之假說。以Pearson 積差相關、一因子變異數分析及迴歸分析等統計工具進行假說驗證，結果均呈現顯著，實證支持D’Avolio (2002)等學者對證券借貸市場之觀點。 在放空研究領域，放空成本為借券人付出的借券費，而放空限制可利用放空成本具體衡量，因此借券費率提供了資產訂價理論、投資組合模型加入放空限制假設基礎，藉以進行更符合金融市場實際交易狀況之研究。 在證券交易實務方面，證券借貸市場開放後產生兩項明顯影響，一項為放空成本的差異，一項為證券出借的收益，一般投資人可選擇成本較低的放空管道，亦能出借證券獲取出借收益，提高投資報酬率。市場參與者可利用本研究實證借券費率的基本特性，作為台灣證券借貸市場中交易競價的參考依據。 Taiwan Stock Exchange built 「Securities Borrowing and Lending System」（SBL System）in the Margin Market in 2003. In July of 2007, all members of financial system were subsumed into Taiwan Securities Borrowing and Lending Market. From that moment, the influence on stock market was getting more and more stronger. This study discusses about the topic of “Loan Fee Rate in SBL System Competitive Auction Transactions” and do the physical study based on data of SBL System. According to literatures about the affect of short sale on stock price, short sale constraints and SBL market, the study proposes “short sale contraints and divergence of opinion are positively relative to loan fee rate” and “institutional ownership、size、book-to-market are negatively relative to loan fee rate”. All of these hypotheses are proven through statistics tests of Pearson correlation, One-Way ANOVA and linear regression in this study and support viewpoints proposed by D’Avolio (2002) and other researchers in the past. In practical stock market, there are two obvious affects after SBL market releasing. One is the gap of short sale cost and the other is the benefit of security lending. For investors, they can get more higher return by choosing the way to short sale with low cost or getting benefit by lending security. Therefore, investors can refer to the findings of basic characters of loan fee rate in this study for trade in Taiwan SBL Market.
