放空交易指的是投資人向證券商借入股票賣出的行為，自1974年台灣金融市場開放信用交易，到2000年時台灣證券市場放空交易總成交值已佔台灣股票市場總成交值三成以上，至今放空交易已成為台灣證券市場投資人非常重要的交易工具，但在2008年10月1日起至同年12月31日因受國際金融風暴影響台灣金融監督管理委員會為穩定股市，在這段期間施行放空限制。為探究施行放空限制是否達成政策目標，引起本文研究之動機，因此希望藉由實證研究來探討金融海嘯期間台灣主管機關限制放空對台灣股票市場之影響。本文藉由探討在施行放空限制前、中、後台灣證券市場之變化，沿用Beber and Pagano (2013)的方法，使用Panel Data並利用Amihud非流動性指標及GARCH波動率等變數，研究2007年7月2日至2009年6月30日這段期間，台灣50股票其價格波動、價格發現及流動性之變化。研究結果顯示:放空限制期間台灣股票市場流動性及價格發現顯著下降，限制放空在阻止市場劇烈動盪並無達到預定效果，因此本文建議相關單位應重新評估放空限制是否能在金融危機期間達到抑制市場劇烈動盪的政策目標。
Since 1974, Taiwan financial market started performing short-sell. In the year 2000, 30% of Taiwan's stock market's total traded value of trading was because of shorting transactions. So far, short-sell have become an important factor of the Taiwan stock market. During 2008 October 1st to 2008 December 31st, during the Financial cri-sis, Taiwan's Financial Supervisory Commission used short-sell constraints to stabilize the stock markets. This document is to investigate Taiwan's stock market changes before, during and after constraints. According to Beber and Pagano (2013) Method, using Panel Data, Amihud illiquidity index and the GARCH model, researching data between 2007 July 2nd to 2009 June 30th, using 50 Taiwan stocks, researching the liquidity, speed of price discovery and price volatility changes between July 2, 2007 to June 30, 2009. The results showed: (i)during the short-sell constraints, Taiwan's stock markets li-quidity and speed of price made a significant decreases. Limiting the short-sell con-straints in stopping the market turmoil have not made the expected effects on stopping the turmoil. Therefore, this paper suggested that the relevant units should re-evaluate whether the short-sell restrictions that inhibit the market to achieve policy objectives upheaval during the financial crisis.
