本研究衡量2005年5月16日豁免臺灣50指數成分股融券賣出不得低於前一日收盤價格限制後，全樣本、產業及公司規模等之波動性、流動性及訂價誤差。實施後，全體樣本波動性顯著變小，證券金融保險、其他類股及公司規模大之波動性亦顯著變小，流動性部分，無論全體樣本、公司規模大小、產業類別，流動性皆增加；全體樣本、電子資訊及公司規模大之流動性增加具顯著性。訂價誤差部份，全體樣本及不分公司規模實施前股價皆充分反映訊息，實施後，全體樣本、電子資訊類股及公司規模小者，有顯著超漲超跌。 The authorities waived the restriction of short sale below the last closing price for the compositions of Taiwan 50 Index on May 16, 2007. We try to analyze the effects of waiving restriction by testing the characteristics of volatility, liquidity, and pricing error. After waiving, the volatilities are significantly becoming heavier for the whole samples and the sub-groups of financial sector or with larger market capital. The liquidities are becoming better for the whole samples and all sub-groups no matter what kind of grouping, in which the whole samples and sub-groups of IT sector or with larger market capital are with 99% significance levels. For pricing error, the market prices of the whole samples and the sub-groups classified by market capital had reflected public information enough. After waiving, the whole samples and the sub-groups of IT sector or with smaller market capital have significantly over reflected the public information.
