融券賣出的限制是許多國家與市場的管制者所使用，來防止市場價格大幅下跌的措施之一。在2008年全球性的金融風暴中，我國、英國與美國都曾經發佈公告，全面禁止或是禁止特定股票的融券賣出。在財務理論的文獻中，融券賣出扮演相當重要的角色。兩個相同的金融商品，在證券市場的價格將會相同，此稱為單一價格定律。當市場的價格處於失衡時，交易者將利用買進被價值低估的證券、賣出價格高估的證券，進行套利交易，使價格重心地回到均衡。當限制投資人不得融券賣出時，有可能會造成股價被高估，或是造成負面資訊反應在股價上的速度很慢之現象。由於我國於2003年6月移除機構投資人的融券賣出限制，因此，本研究擬利用指數期貨與指數現貨的關係，來探討移除機構投資人的融券賣出限制是否會提高股票市場價格發現的功能。此外，本研究也將探討融券賣出者的交易行為，檢視他們的交易是否預測未來的報酬率。除了對於投資人賣出放空的限制之外，市場存在著另一種的價格限制：平盤以下不得放空。美國與我國都有類似的「平盤以下不得放空」的限制，也都曾經針對特定的股票取消「平盤以下不得放空」限制的實驗計畫。本研究擬以我國的金融市場，來探討取消「平盤以下不得放空」的限制，是否會影響交易的品質。 ; Restrictions on short-sales are usually used by market regulators to prevent market crashes. During the 2008 global liquidity crisis, short selling is prohibited or restricted in Taiwan, UK, and US for the whole markets or for some specific stocks in some periods. Short sales play essential roles in financial markets. The law of one price calls for that two traded or synthesized instruments with the same future cash flows should trade at the same price. In the case of deviations from no-arbitrage relations, traders will buy under-valued securities and short sell over-valued securities to cash out profits. Arbitrage trading will move prices back to the appropriate level. The presence of short sales restrictions may make arbitrage costly or impossible, or render the bad news incorporated into prices slowly. Without short-sales mechanism, market prices of stocks are more likely to be overvalued than it would be if arbitrage trading is active. In June 2003, Taiwan lifted the short sales restrictions on institutional investors. This event will be employed in this study to examine if the removal of short sales restrictions on institutional investors facilitates the price discovery in cash markets. Furthermore, this study will examine the behavior of short seller by addressing the issue whether their short positions are predictable for future returns. In addition to the short-sales restrictions, uptick rule is another form of restrictions on short-selling activities. Uptick rule is applied both in Taiwan and US markets, and both markets have experienced the Pilot programs to remove the uptick rule. This study will examine the effect on market quality of the suspension of uptick rules in Taiwan stock markets. ; 研究期間 9808 ~ 9907
