台湾股市卖空共移与总合卖空交易的预测能力

Abstract

本文从整体市场层次出发，利用台湾股市散户融券卖空与法人借券卖空交易，探讨卖空者能否掌握较佳的整体市场资讯。首先，我们观察到卖空共移现象，亦即个股融（借）券卖空活动会随着整体市场以及同产业卖空活动一起增减。总合融（借）券卖空与未来短期大盘报 酬有显着的正（负）相关，比起空头市场，多头期间总合融（借）券卖空与未来大盘走势有更强烈的关系。另外，台湾股市在市场发生大变动时会采取暂时性的卖空限制政策，这种政策性调整会降低整体法人借券卖出对大盘走势的预测能力。散户因为无法正确掌握整体市场的盈余宣告内容、重要经济指标表现以及市场情绪，使得总合融券水准成为未来大盘走势的反向指标。相反地，法人能掌握较佳的整体市场资讯，当总合借券卖出增加时，未来大部分公司的盈余宣告内容将比市场预期来得差，而且法人能正确掌握整体市场情绪变化。

This paper investigates whether aggregate short selling contains information about the future market return by using individual and institutional investor's short selling in Taiwan stock market. Evidence shows that short sales in individual stocks co-move significantly with both market- and industry-aggregated short sales no matter of individual or institutional investors. The institutional (individual) investors' daily aggregate shorting flows are negatively (positively) related to future market return. The above mentioned relationship is stronger in the bullish period. Taiwan stock market adopted some temporary short-sale restrictions when market is too highly volatile and such restrictions would decrease the informativeness of institutional investors' aggregate shorting flows. Individual investors are noise trading about the state of economy and investor sentiment. On the contrary, institutional investors possess superior market-wide information about future aggregate earnings news and the investor sentiment.