放空限制解除對台灣50 ETF標的個股流動性的探討

Abstract

本文主要利用買賣價差檔次及流動性指標來探討對台灣50成份股放空限制解除前後，成份股流動性的變動情形。實證資料從民國94年3月17日至民國94年7月8日，並將樣本期間以成份股放空限制解除前後區分成兩組樣本期間。實證結果顯示，台灣50成分股在放空限制解除之後，流動性的確有顯著增加的情形，這與套利假說的預期一致，也代表放寬成份股平盤以下放空限制，使得投資人可以進行套利及避險動作。除了增加成份股的流動性、降低市場上的逆選擇成本之外，這也使得市場交易更為活絡，也可以作為政府未來法規設計的參考。

This paper employs the bid-ask spread ticks and the liquidity variables to investigate the impact of the repeal of the short sale restriction on the liquidity of underlying stocks in the Taiwan 50 ETF. The sample period extends from March 17, 2005 to July 8, 2005. This period is divided into two sub-periods, namely, one before and one after the repeal of the short sale restriction. The empirical results indicate that the liquidity of the underlying stocks is significantly increased, a finding that is consistent with the arbitrage hypothesis. This result means that the repeal of the short sale restriction not only makes it easier for investors to arbitrage and hedge, but also increases the liquidity of the component stocks and reduces the adverse selection cost. This in turn makes market trading more active and also serves as a reference for the government to set up appropriate laws and regulations in the future.