以富邦上証 180 基金(證券代號:006205)與富邦上証 180 單日反向一倍基金(證券代號:00634R)兩檔作為樣本，本篇論文使用迴歸分析，探討融資、融券、借券餘額對於後續 ETF 報酬是否具有解釋的能力，台灣信用交易市場較為特殊，買空交易使用融資買進，賣空交易主要分為一般投資人為主的融券以及機構法人為主的借券兩種，研究結果發現上証 ETF 融資餘額對於後續上証 ETF 持有 10 日與 20日報酬率呈現正向相關，且融資餘額變化可預測日後股價會呈現上漲趨勢；上証ETF 融券餘額對於後續上証 ETF 持有 5 日、10 日與 20 日報酬率呈現負向關係，且融資餘額可預測的日後股價會呈現下跌趨勢。;Using Fubon Shangsuo 180 Fund (stock code: 006205) and Fubon Shangsuo 180 single-day reverse double fund (stock code: 00634R) as the sample, this paper explores whether the margin trading (including long and short trading) in Taiwan help predict the index spot return listed in China. A unique feature in the Taiwan stock market is that there are two forms of stock loans: one for retail investors and the other for institutional investors. Unlike the common view that retail investors are noise traders, the empirical results indicate that retail investors, long-purchase positively predicts the index returns for up to 20 days, whereas the short-selling of both retail and institutional investors negatively predicts the index returns for 5 to 10 days.
