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題名 政府限制股票放空措施對股市之影響-以英國為例
The impact of the short-selling ban on stock performance: evidence from British stock market
作者 陳怡潔
Chen, Yi-Chieh
貢獻者 張元晨
Chang, Yuan-chen
陳怡潔
Chen ,Yi-Chieh
關鍵詞 次級房貸
限制放空
GJR-GARCH
Subprime
Short-selling
GJR-GARCH
日期 2009
上傳時間 9-May-2016 11:45:29 (UTC+8)
摘要 本文以次貸風暴期間英國金融服務管理局的限制放空政策為研究對象，探討該政策對股票報酬率、股票波動度之影響。本研究將研究期間分為限制放空期間、允許放空期間，並將英國金融服務管理局公布的限制放空名單劃分為銀行業、財務顧問業、壽險業、產險業，利用GJR模型分析限制放空政策對不同產業影響的差異性。
實證結果證明，除少數銀行類股在限制放空期間的股價報酬率顯著低於允許放空期間，大部分限制放空個股的報酬率在兩期間並無顯著差異，然而限制放空期間幾乎所有研究樣本的股票波動度卻顯著提高。顯見政府限制放空政策不一定能有效抑制股價跌幅，卻會加劇股票波動性，加劇市場震盪。
UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries.
We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.
參考文獻 一、中文期刊論文
曹金泉，〈隨機波動度下選擇權評價理論的應用---以台灣認購權證為例〉，碩士論文，國立政治大學金融研究所，民國87年。
王英明，〈台股報酬波動與訊息到達之關係研究〉，碩士論文，國立政治大學國際經營與貿易研究所，民國96年。

二、英文期刊論文
Aitken, M.J., Frino, A., McCorry, M.S. and Swan P. L., 1998, “Short sales are almost instantaneously bad news: evidence from the Australian stock exchange.” Journal of Finance 53, 2205-2223.
Antoniou A., Holmes, P. and Priestley, R., 1998, “The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news.” Journal of Futures Markets 18, 151–166.
Asquith, P. and Meulbroek, L., 1995, “An empirical investigation of short interest.“ Harvard Business School working paper.
Bai, Y., Chang, E.C. and Wang, J., 2006, “Asset prices under short-sale constraints.“ University of Hong Kong and MIT working paper.
Battalio, R.H. and Schultz P.H., 2006, “Options and the bubble.” Journal of Finance 61, 2071-2102.
Berument, H. and Kiymaz, H., 2001, “The day of the week effect on stock market volatility.” Journal of Economic and Finance 25, 181-190.
Berument, H. and Kiymaz, H., 2003, “The day of the week effect on stock market volatility and volume: international evidence.” Review of Financial Economics 12, 363–380.
Boehmer, E., Jones, C. M., and Zhang, X., 2008, “Shackling short sellers: the 2008 shorting ban.” Preliminary draft, www2.gsb.columbia.edu/faculty/cjones/ShortingBan.pdf
Bris, A., 2008, “Short selling activity in financial stocks and the SEC July 15th Emergency Order.” Http://www.imd.ch/news/upload/Report.pdf
Bris, A., Goetzmann,W.N. and Zhu, N., 2007, “Efficiency and the bear: short sales and markets around the world.” Journal of Finance 62, 1029-1079.
Campbell, J.Y. and Hentschel L., 1992, “No news is good news: an asymmetric model of changing volatility in stock returns.” Journal of Financial Economics 31, 281-318.
Charoenrook, A. and Daouk, H., 2004, “The world price of short selling.” Vanderbilt University and Cornell University working paper.
Charoenwong, C., Ding, D.K., and Wang P., 2006, “The effect of short sales constraints on SEO pricing.” Nanyang Technological University Singapore working paper.
Christophe, S.E., Ferri, M.G. and Angel, J.J., 2004, “Short-selling prior to earnings announcements.” Journal of Finance 59, 1845-1876.
Desai, H., Ramesh, K., Thiagarajan, S.R. and Balachandran, B.V., 2002, “An investigation of the informational role of short interest in the Nasdaq market. “ Journal of Finance 57, 2263-2287.
Diamond, D.W. and Verrecchia, R.E., 1987, “Constraints on short-selling and asset price adjustment to private information.” Journal of Financial Economics, 277-311.
Figlewski, S., 1981, “The informational effects of restrictions on short sales: some empirical evidence.” Journal of Financial and Quantitative Analysis 16, 463-476.
French, K., 1980, “Stock returns and the weekend effect.” Journal of Financial Economics 8, 55-69.
Gibbons, M.R. and Hess, P., 1981, “Day of the week effect and asset returns.” Journal of Business 54, 579-596.
Gulen, H. and Mayhew S., 2000, “Stock index futures trading and volatility in international equity markets.” Journal of Futures Markets 20, 661–685.
Ho, Kim-Wai, 1996, “Short-sales restrictions and volatility: the case of the Stock Exchange of Singapore.” Pacific-Basin Finance Journal 4, 377-391.
Holmes, P. and Wong, Mei-Wa, 2001, “Foreign investment, regulation and price volatility in South-East Asian stock markets.” Emerging Markets Review 2, 371-386.
Hong, H., and Stein, J.C., 2003, “Differences of opinion, short-sales constraints, and market crashes.” The Review of Financial Studies, 487-525.
Jaffe, J. and Westerfield, R., 1985, “The week-end effect in common stock returns: the international evidence.” Journal of Finance 40, 433-454.
Jarrow, R., 1980, “Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices.” Journal of Finance 35, 1105-1113.
Jones, C.M. and Lamont O.A., 2002, “Short-sale constraints and stock returns.” Journal of Financial Economics 66, 207–239.
Keim D.B. and Stambaugh, R.F., 1984, “A further investigation of the weekend effect in stock returns.” Journal of Finance 17, 357-390.
Marsh, I.W. and Niemer, N., 2008, “The impact of short sales restrictions.” The report commissioned by the International Securities Lending Association (ISLA), the Alternative Investment Management Association (AIMA) and London Investment Banking Association (LIBA).
McKenzie, M. and Henry O.T., 2006, “The impact of short selling on the price-volume relationship: evidence from Hong Kong.” Journal of Business 79, 671-691.
Miller, E. M., 1977, “Risk, uncertainty, and divergence of opinion.” Journal of Finance 32, 1151-1168.
Ofek, E. and Richardson, M., 2003, “DotCom mania: the rise and fall of internet stock prices.” Journal of Finance 58, 1113-1138.
Pilar C. and Rafael S., 2002, “Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market.” Applied Economics Letters 9, 107-110.
Senchack, A.J. and Starks, L.T., 1993, “Short-sale restrictions and market reaction to short-interest announcement.” Journal of Financial and Quantitative Analysis 28, 177-194.
描述 碩士
國立政治大學
財務管理研究所
96357030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357030
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuan-chenen_US
dc.contributor.author (Authors) 陳怡潔zh_TW
dc.contributor.author (Authors) Chen ,Yi-Chiehen_US
dc.creator (作者) 陳怡潔zh_TW
dc.creator (作者) Chen, Yi-Chiehen_US
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 11:45:29 (UTC+8)-
dc.date.available 9-May-2016 11:45:29 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:45:29 (UTC+8)-
dc.identifier (Other Identifiers) G0096357030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94734-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 96357030zh_TW
dc.description.abstract (摘要) 本文以次貸風暴期間英國金融服務管理局的限制放空政策為研究對象，探討該政策對股票報酬率、股票波動度之影響。本研究將研究期間分為限制放空期間、允許放空期間，並將英國金融服務管理局公布的限制放空名單劃分為銀行業、財務顧問業、壽險業、產險業，利用GJR模型分析限制放空政策對不同產業影響的差異性。
實證結果證明，除少數銀行類股在限制放空期間的股價報酬率顯著低於允許放空期間，大部分限制放空個股的報酬率在兩期間並無顯著差異，然而限制放空期間幾乎所有研究樣本的股票波動度卻顯著提高。顯見政府限制放空政策不一定能有效抑制股價跌幅，卻會加劇股票波動性，加劇市場震盪。		zh_TW
dc.description.abstract (摘要) UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries.
We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.		en_US
dc.description.tableofcontents 第一章 緒論
第一節 研究背景..................................4
第二節 研究動機與目的.............................5
第三節 研究架構..................................8
第二章 文獻探討
第一節 限制放空政策對股票報酬率之影響..............10
第二節 限制放空政策對股票波動度之影響..............14
第三節 股票波動度衡量模型.........................17
第三章 研究方法
第一節 研究資料.................................21
第二節 研究方法與假說............................25
第四章 實證結果
第一節 敘述統計分析..............................30
第二節 以平均數與變異數檢定限制放空之政策效果.......32
第三節 GJR模型下限制放空之政策效果.................42
第五章 結論與建議
第一節 結論.....................................51
第二節 研究限制與建議............................54
參考文獻........................................57		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357030en_US
dc.subject (關鍵詞) 次級房貸zh_TW
dc.subject (關鍵詞) 限制放空zh_TW
dc.subject (關鍵詞) GJR-GARCHzh_TW
dc.subject (關鍵詞) Subprimeen_US
dc.subject (關鍵詞) Short-sellingen_US
dc.subject (關鍵詞) GJR-GARCHen_US
dc.title (題名) 政府限制股票放空措施對股市之影響-以英國為例zh_TW
dc.title (題名) The impact of the short-selling ban on stock performance: evidence from British stock marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文期刊論文
曹金泉，〈隨機波動度下選擇權評價理論的應用---以台灣認購權證為例〉，碩士論文，國立政治大學金融研究所，民國87年。
王英明，〈台股報酬波動與訊息到達之關係研究〉，碩士論文，國立政治大學國際經營與貿易研究所，民國96年。

二、英文期刊論文
Aitken, M.J., Frino, A., McCorry, M.S. and Swan P. L., 1998, “Short sales are almost instantaneously bad news: evidence from the Australian stock exchange.” Journal of Finance 53, 2205-2223.
Antoniou A., Holmes, P. and Priestley, R., 1998, “The effects of stock index futures trading on stock index volatility: an analysis of the asymmetric response of volatility to news.” Journal of Futures Markets 18, 151–166.
Asquith, P. and Meulbroek, L., 1995, “An empirical investigation of short interest.“ Harvard Business School working paper.
Bai, Y., Chang, E.C. and Wang, J., 2006, “Asset prices under short-sale constraints.“ University of Hong Kong and MIT working paper.
Battalio, R.H. and Schultz P.H., 2006, “Options and the bubble.” Journal of Finance 61, 2071-2102.
Berument, H. and Kiymaz, H., 2001, “The day of the week effect on stock market volatility.” Journal of Economic and Finance 25, 181-190.
Berument, H. and Kiymaz, H., 2003, “The day of the week effect on stock market volatility and volume: international evidence.” Review of Financial Economics 12, 363–380.
Boehmer, E., Jones, C. M., and Zhang, X., 2008, “Shackling short sellers: the 2008 shorting ban.” Preliminary draft, www2.gsb.columbia.edu/faculty/cjones/ShortingBan.pdf
Bris, A., 2008, “Short selling activity in financial stocks and the SEC July 15th Emergency Order.” Http://www.imd.ch/news/upload/Report.pdf
Bris, A., Goetzmann,W.N. and Zhu, N., 2007, “Efficiency and the bear: short sales and markets around the world.” Journal of Finance 62, 1029-1079.
Campbell, J.Y. and Hentschel L., 1992, “No news is good news: an asymmetric model of changing volatility in stock returns.” Journal of Financial Economics 31, 281-318.
Charoenrook, A. and Daouk, H., 2004, “The world price of short selling.” Vanderbilt University and Cornell University working paper.
Charoenwong, C., Ding, D.K., and Wang P., 2006, “The effect of short sales constraints on SEO pricing.” Nanyang Technological University Singapore working paper.
Christophe, S.E., Ferri, M.G. and Angel, J.J., 2004, “Short-selling prior to earnings announcements.” Journal of Finance 59, 1845-1876.
Desai, H., Ramesh, K., Thiagarajan, S.R. and Balachandran, B.V., 2002, “An investigation of the informational role of short interest in the Nasdaq market. “ Journal of Finance 57, 2263-2287.
Diamond, D.W. and Verrecchia, R.E., 1987, “Constraints on short-selling and asset price adjustment to private information.” Journal of Financial Economics, 277-311.
Figlewski, S., 1981, “The informational effects of restrictions on short sales: some empirical evidence.” Journal of Financial and Quantitative Analysis 16, 463-476.
French, K., 1980, “Stock returns and the weekend effect.” Journal of Financial Economics 8, 55-69.
Gibbons, M.R. and Hess, P., 1981, “Day of the week effect and asset returns.” Journal of Business 54, 579-596.
Gulen, H. and Mayhew S., 2000, “Stock index futures trading and volatility in international equity markets.” Journal of Futures Markets 20, 661–685.
Ho, Kim-Wai, 1996, “Short-sales restrictions and volatility: the case of the Stock Exchange of Singapore.” Pacific-Basin Finance Journal 4, 377-391.
Holmes, P. and Wong, Mei-Wa, 2001, “Foreign investment, regulation and price volatility in South-East Asian stock markets.” Emerging Markets Review 2, 371-386.
Hong, H., and Stein, J.C., 2003, “Differences of opinion, short-sales constraints, and market crashes.” The Review of Financial Studies, 487-525.
Jaffe, J. and Westerfield, R., 1985, “The week-end effect in common stock returns: the international evidence.” Journal of Finance 40, 433-454.
Jarrow, R., 1980, “Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices.” Journal of Finance 35, 1105-1113.
Jones, C.M. and Lamont O.A., 2002, “Short-sale constraints and stock returns.” Journal of Financial Economics 66, 207–239.
Keim D.B. and Stambaugh, R.F., 1984, “A further investigation of the weekend effect in stock returns.” Journal of Finance 17, 357-390.
Marsh, I.W. and Niemer, N., 2008, “The impact of short sales restrictions.” The report commissioned by the International Securities Lending Association (ISLA), the Alternative Investment Management Association (AIMA) and London Investment Banking Association (LIBA).
McKenzie, M. and Henry O.T., 2006, “The impact of short selling on the price-volume relationship: evidence from Hong Kong.” Journal of Business 79, 671-691.
Miller, E. M., 1977, “Risk, uncertainty, and divergence of opinion.” Journal of Finance 32, 1151-1168.
Ofek, E. and Richardson, M., 2003, “DotCom mania: the rise and fall of internet stock prices.” Journal of Finance 58, 1113-1138.
Pilar C. and Rafael S., 2002, “Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market.” Applied Economics Letters 9, 107-110.
Senchack, A.J. and Starks, L.T., 1993, “Short-sale restrictions and market reaction to short-interest announcement.” Journal of Financial and Quantitative Analysis 28, 177-194.		zh_TW