| 摘要: | 為因應國際潮流，台灣證券交易所於2003年成立「借券中心」，並在2007年7月允許證券商及證券金融公司參與證券借貸，這兩項措施使得證券借貸交易的市場規模與影響日益漸增。由於借券與融券在交易成本與擔保品的限制不同，使得借券交易在短天期的放空交易成本上較融券放空有利。但由於台灣借券市場運作時間不長，故證券市場借貸之研究屬於較新之議題，而且目前相關的文獻也多只著重於法規制度面之討論。 本論文沿用D’Avolio(2002)的方法論，利用公司規模、機構投資人持股比例，與投資人意見紛歧程度等變數，研究2003至2009年台灣借券資料，探討關於台灣集中式借貸市場中關於影響證券被借券機率之因素，並在涉及借券費率問題時，以供給面與需求兩大因素來做實證研究。 本研究指出：就供給面方面，當公司規模愈大及機構投資人持有比例愈多，借券供給越多，使借券費率降低；就需求面而言，當投資人意見分歧程度愈大、股價淨值比愈高及過去股價表現較差時，將會造成借券費率增加。 在研究影響證券被借券的因素時，本文假設：當供給增加或需求增加時，將會使證券被借券機率提升。根據實證研究的結果顯示，當公司規模愈大及機構投資人持股比例愈大時，借券供給增加，的確會使股票被借券的機率提升；當投資人意見分歧程度愈大及過去股價報酬愈低時，借券需求增加，也會使股票被借券的機率提升。In response to international trends, Taiwan Stock Exchange established the「Securities Borrowing and Lending System」in 2003, and then the securities dealers and securities institutions were subsumed into Taiwan Securities Borrowing and Lending Market in July of 2007. In the wake of these two measures, the size and influences of Securities Lending and Borrowing transactions have been expanded in Taiwan. Due to the fact that transaction cost and collateral restriction in securities lending and short selling are different, making the short sale transaction cost in the short days on securities lending transactions more favorable than that of short selling transaction. However, Taiwan's operation in securities lending market not only existed for merely a short while, but the current relevant literature is also only focused on the regulatory system. This paper follows the methodology from D'Avolio (2002), using company size, the proportion of institutional ownership, and the divergence of opinions of investors as variables. We utilized Taiwan's securities lending information from 2003 to 2009 to investigate which stocks tend to easily be lent and borrowed in lending transaction. In addition, we also do some empirical research on the supply side and demand side factors to examine which factors has impact on the loan fee rate. On the supply side, we find that the larger size of the company and the more proportion of institutional investors holding lead to the more securities available for lending to reduce the borrower rates. On the other hand － on the demand side, the greater the divergence of opinion of investor, the higher market-to-book ratio and poor stock performance over the past would make the loan rate fee increased. In addition, we also study the factors which will affect the probability of successful transactions in the securities lending, and do some empirical study from supply and demand side. The results show that when the larger size of the company and the greater proportion of institutional ownership, the supply of lending securities will be upgraded, and the probability of successful transactions will be increased. Moreover, when the greater divergence of opinion of investor and the worse performance of past stock price increase the borrower’s demand, the probability of successful transactions will also be increased. |
