融資比率及融券保證金成數對台灣股票市場資訊傳遞效果與風險控管指標設計之研究

Abstract

摘 要 我國自民國六十九年開始實行股市信用交易以來，政府多次調整融資比率及融券保證金成數以調節股市之投機行為，而在民國八十六年十月二十一日之後，財政部證管會毅然將實行多年的「融資比率及融券保證金成數參考指標」廢止，改採行政命令之方式來修正股市之信用交易比率。針對此舉本研究企圖討論我國政府主管機關在控制證券市場劇幅變動時之政策效果。本文研究中所欲探討之目的有二： 1.政府主管機關取消融資比率及融券保證金成數參考指標之後，以行政命令來調整證券信用交易比率是否有資訊宣示效果？ 2.以信用交易比率的調整作為我國證券市場的風險控管指標，對股市波動性之影響如何？ 研究中採用迴歸模式及包含不對稱效果之GARCH模式–GJR-GRACH(1,1)與E-GARCH(1,1)作為實證分析之基礎。本研究之實證分析結論如下： 1.融資比率與融券保證金成數對股票市場資訊傳遞效果而言，應將調整信用交易比率之資訊傳遞效果定義為改變股市投機行為造成的市場波動性，而非為成交量的流動性。 2.在達成改變股市波動性的訊息上，以行政命令調整融資比率，在研究期間中可視為有效的政策工具，依此，將融資比率視為控管之政策指標是可行的。 3.在跨越參考指標前後期間，實證結論發現，不論是區分為不同期的信用交易比率對市場波動性之影響，或是調高或調低信用交易比率、及將信用交易比率調整幅度視為影響因子，都無法說明這些因素對股市波動性有顯著影響，因此將信用交易比率視為市場風險控管指標之設計，仍有待主管機關多所考量。

ABSTRACT The same as the margin requirements regulation of the United States, our government are also granted to have the responsibility to reduce the use of excessive credit in the securities transactions and the volatility of the stock prices. The government had ever changed the margin regulations several times since 1970.Until 21 October 1997,the government stopped using the “margin regulation index” to control the stock market. In contrast to that, the margin requirements in the equity market are controlled as the “selective regulations” of the government authority. The purpose of this study is to assess the state of the margin policy of the Taiwan Securities Market. This study empirically examines the two main directions including the information effect and the risk management in the securities market of the margin policy separated from the October 1997. Prior to other academic evidences, this research applies the Regression analysis and GJR-GARCH and E-GARCH model to measure the evidence of the margin policy effect. The empirical results are as follows: 1.This study have defined two information effect of the margin policy, the evidence tells that there exist the significantly relations between the margin requirements and the volatility of the Taiwan stock market, but no empirical effect with the volume value since October 1997. 2.During the evidence research period, there exist the significantly relationship between the margin regulation and the volatility of the stock market. In consequently, the margin policy should be a useful regulation to reduce the volatility of the stock price in contrast to the short sell regulation policy. 3.No matter setting several different dummy variables to examine the effect of the margin policy as the risk management in the stock market, we can’t find there exist any significantly effect to conclude that it is a good way to use the margin regulation to control the volatility of Taiwan stock market from the empirical time July 1995 to Feb 1999.