影響融券之因素與融券策略:以MSCI台灣指數成份股為例

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Title:	影響融券之因素與融券策略:以MSCI台灣指數成份股為例
Other Titles:	Determinants and Strategies for Short Sales: A Study of MSCI Taiwan Index Constituents
Authors:	彭思潔 Peng, Ssu-Chieh
Contributors:	黃琛瑞 Huang, Chen-Jui 東海大學財務金融學系
Keywords:	融券、成長股、交易成本、認售權證、交易策略 short sale, growth stock, transaction cost, put warrant, trading strategy
Date:	2010
Issue Date:	2010-12-31T08:41:20Z (UTC)
Abstract:	本文以2006年1月3日至2009年12月31日摩根台灣指數成份股為研究樣本，調查影響融券的主要因素並以此為依樣設計融券策略。本文採用八個融券代理變數並檢驗五個假說和六個融券策略，主要的研究發現包含：(1)當融券代理變數為以融券餘額為基礎的計算時，融券者偏愛成長股而不是價值股；(2)實證結果顯示，並無強烈證據證明融券者交易的股票低交易成本；(3)在台灣，融券者是風險承擔者；(4)融券者會選擇過去股價報酬高的標的來放空，並以周報酬最為明顯；(5)融券行為與認售權證存在正相關；(6)我們利用迴歸結果建立六個融券策略，得到的報酬皆優於原始股價周報酬，平均報酬也隨著持有期間的增加而遞增，證實帳面價值對市值比和過去股價報酬是影響融券策略的重要因子。 This thesis investigates major determinants for short sales as well as effectiveness of implied trading strategies from January 3 of 2006 to December 31 of 2009. The sample covers 62 constituent stocks from the MSCI Taiwan Index. We adopt eight proxies for short sales to test five hypotheses and six short selling strategies. Major findings include: (1) we support the hypothesis that short sellers prefer growth stocks to value stocks when short sales are proxies by short-interest-based measures; (2) there seems no strong evidence in favor of the hypothesis that short sellers trade stocks with low transaction costs; (3) our results also indicate that short sellers act as risk-bearers in Taiwan; (4) short sellers select stocks with high past returns, in particular, weekly returns; (5) there is a positive link between short sales and relevant put warrants; (6) the six short selling strategies established from the regression results almost yield returns that outperform the benchmark level of weekly returns, indicate that average returns increase with the holding period and the book-to-market ratio and past stock returns are both crucial.
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