| dc.description.abstract | The Taiwan Stock Exchange established the Securities Borrowing and Lending System in June 2003, and participants are limited to domestic and foreign legal entities, In June 2007, the competent authority opened securities dealers and securities companies to conduct securities lending business, and ordinary investors were able to participate in securities lending transactions. Because domestic scholars mostly use the stock exchange information provided by stock exchanges as research data to explore the impact of stock exchange transactions on the overall stock market on stock prices, this study , I obtained the securities borrowing demand table as a sample through the domestic J securities I work for, and explored the relationship between the securities lending transactions in the decentralized securities lending market and the stock return.
In this study, the average cumulative abnormal return rate before and after the securities lending event is used to examine the impact of the securities lending event on the stock return rate, and the regression analysis is used to explore the company′s market value and the cumulative abnormal return rate over the 30 days before the securities lending event. The relationship between the rate of borrowing fee, the market value of the company, the cumulative abnormal return rate 30 days before the securities lending event and the cumulative abnormal return rate after the securities lending event. The following empirical results are found:
1. The impact of stock price returns before and after the securities lending event
The stock price returns before the securities lending event is positive. Since most of the stock targets are small and medium-sized stocks, the degree of information asymmetry is high, and the stock price may be overvalued. The internal reversal is a positive return, showing that the lending transaction helps to return the overvalued stock price to fundamentals and improve market efficiency.
2. Correlation between the rate of borrowing fee and the company′s market value and the stock return rate of the previous period of the securities lending event
The company′s market value is significantly negative for the borrowing fee. The larger the company′s size, the greater the number of shares in circulation, and the greater the number of stocks available for lending, resulting in a lower borrowing fee rate; The cumulative abnormal return rate in the 30 days before the securities lending event is significantly positive for the borrowing fee rate. The better the stock price return performance in the early period of the securities lending event, the stock price is likely to be overvalued, and the greater the demand for the loan, which leads to the borrowing fee rate increase.
3. The effect of securities lending variables on stock returns after securities lending
The borrowing fee, company size, and cumulative abnormal return rate 30 days before the securities lending event are significantly negative for the cumulative abnormal return rate after the securities lending event. The company′s market value increases as the stock price rises, when the stock price rises more, the stock price may be overvalued, along with the greater demand for borrowing securities, increases the rate of borrowing fee, and the poor performance of stock price returns after the securities lending event.
Keywords：Securities Lending、Borrowing Fee、Cumulative Abnormal Return | en_US |