本論文主要之目的有三點，首先探討放空交易活動對於報酬、波動與流動性之影響；其次探討調升融券保證金期間，融券賣出交易對市場報酬、波動及流動性之衝擊，最後探討調升融券保證金與借券交易活動之關係。
本論文研究期間為2014年1月2日至2016年12月30日之台灣50(交易代碼0050)與中型100(交易代碼0051)成分股，選擇此樣本期間之理由為近期台灣主管機關調整融券保證金發生於此期間。並以VAR及DCC-GARCH模型探討報酬、波動之變動、流動性、融券賣出比率之變動與借券賣出餘額比率之變動之關係。
本論文實證結果顯示，調高融券保證金受到許多因素所影響，並依照不同標的產生不同結果。建議主管機關對借券之管道加以管制達到政策效果。
This thesis is about the three targets. The first is about the impact of short selling on market return, volatility and liquidity. The second is about the impact of increasing short selling margin on market return, volatility and liquidity. The Third is about the impact of increasing short selling margin on securities lending.
This study uses the daily data from 2014 to 2016 .The study’s samples covers the stocks of Taiwan 50 index and the stocks of Taiwan 100 index. The reason of, this peri-od ,because Taiwanese authority adjusts the short selling margin. The study use Vector Autoregression Model and Dynamic Conditional Correlation measure the change of re-turn, volatility, liquidity and securities lending.
The thesis’s conclusion is not really certainly impact. The policy is impacted by many elements. The conclusion is differently to every samples. The thesis advises Tai-wan authority to manage the security lending market. It is order to steady the market.
