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題名 融券餘額對個股超額報酬率之影響
The impact of margin balance on excess return on individual shares作者 彭明彥
Peng, Ming-Yen貢獻者 謝淑貞
彭明彥
Peng, Ming-Yen關鍵詞 融券餘額
超額報酬率日期 2020 上傳時間 1-Jul-2020 13:31:12 (UTC+8) 摘要 本研究以元大台灣五十的主要成分股為例去探討，並從中研究何種類型及哪種股票是易被軋空及不易被軋空的。而從我們利用OLS的回歸方法跑出的結果中可以得知下列，我們實證的結果中可以發現傳統產業(台塑及台化)的融券賣出數量對超額報酬的係數是較大的，也代表被軋空的機會及幅度是較大的，相反的，電子產業(台積電及鴻海)的融券賣出數量對超額報酬的係數是較小的，也代表相對而言被軋空的機會及幅度是較小的。
This study takes the example of the 50 main constituent stocks of Yuanda Taiwan as an example, and studies from which what type and which stocks are easy to roll and not easily rolled out. And from our use of OLS regression method to run out of the results can be seen the following, our empirical results can be found that the traditional industry (Taiwan plastic and Taiwanization) of the amount of securities sold on the excess compensation coefficient is larger, but also represents the opportunity and range of rolling out is larger. On the contrary, the number of securities sold by the electronics industry (TSMC and Hon Hai) has a smaller factor on excess compensation, and also represents a relatively small chance and range of rolling out.參考文獻 Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2010),“WHAT DO SHORT SELLERS KNOW?”Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2012),“WHAT DO SHORT SELLERS KNOW?”Ekkehart Boehmer, Truong X. Duong. R. Huszar(2016), “Short covering trades”Ying, C. C.（1966）, “Stock market prices and Volumes of sales”, Econometrica ,PP.34,676-685.Smirlock, M., & L. Starks(1988）, “An empirical analysis of the stock price volume relationship”, Journal of Banking and Finance ,PP.12,PP.31-41.Lakonishok, J. and S. Smidt,（1989）, “Past Price Changes and Current Trading Volume”, The Journal of Portfolio Management, 15, PP.18-24.JR Woolridge, A Dickinson - Financial Analysts Journal, 1994 - Taylor & FrancisAitken, Michael J., Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998. Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205-2223.Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan, 2001, Short-sellers, fundamental analysis and stock returns, Journal of Financial Economics 61, 77-106.Asquith, P., Pathak, A., Ritter, J., 2005. Short interest, institutional ownership, and stock returns. Journal of Financial Economics 78, 243–276.Boehmer, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu, 2006. Short sale constraints, differences of opinion, and overvaluation, Journal of Financial and Quantitative Analysis, Jun2006, Vol. 41 Issue 2, p455-487Boehmer, Ekkehart, Jones, Charles M., Zhang, Xiaoyan, 2008. Which shorts are informed? Journal of Finance 63, 491-527.Boehmer, Ekkehart and Julie Wu, 2010, Short selling and the price discovery process, University of Oregon working paper.Chakrabarty, Bidisha , Pamela C. Moulton, and Andriy Shkilko,2011. Short Sales, Long Sales, and the Lee-Ready Trade Classification Algothrithm Revisited. Journal of Financial Markets, Vol. 15, page 467-491.Engelberg ,Joseph E., Adam V. Reed, Matthew C. Ringgenberg, 2012. How are shorts informed? Short sellers, news, and information processing , Journal of Financial Economics 105, 260-278.王端鎂(1995年)，檢定融資融券比率對股票報酬率之影響，國立政治大學碩士論文張哲章（1998），「融資融券餘額、成交量與股價指數之關聯性研究」，證券金融季刊，第56期，67-94。郭建明(2002)，台灣股市中融資餘額、融券餘額與股價指數之關係大盤與各類股之實證分析陳俊男(2004)，信用交易指標、投資策略與股價超額報酬之關係張馨方(2005)，臺灣股票市場加權股價指數報酬率與融資、融券餘額之相關性研究丁誌魰、曾富敏(2005)，以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性廖芳松(2006)，融資餘額,融券餘額與大盤加權股價指數關聯性之研究詹思儒、林靖中、郭玟琇(2008)，平盤以下可融券賣出對股票價格型為之影響吳惠萍(2008年)，融資、融券餘額、外資買賣超對台灣股價影響-分量迴歸之應用，國立台灣大學碩士論文阮浩耘(2008年)，放空限制及股市價格發現功能-以台灣中型100指數為例，國立台灣大學碩士論文陳建宏(2011年)，借券交易對股價變化影響研究，國立台灣大學碩士論文朱民武(2015)，融資融券對股價的影響_基於滬市A股的研究經驗 描述 碩士
國立政治大學
國際經營與貿易學系
107351011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107351011 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.author (Authors) 彭明彥 zh_TW dc.contributor.author (Authors) Peng, Ming-Yen en_US dc.creator (作者) 彭明彥 zh_TW dc.creator (作者) Peng, Ming-Yen en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:31:12 (UTC+8) - dc.date.available 1-Jul-2020 13:31:12 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:31:12 (UTC+8) - dc.identifier (Other Identifiers) G0107351011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130490 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 107351011 zh_TW dc.description.abstract (摘要) 本研究以元大台灣五十的主要成分股為例去探討，並從中研究何種類型及哪種股票是易被軋空及不易被軋空的。而從我們利用OLS的回歸方法跑出的結果中可以得知下列，我們實證的結果中可以發現傳統產業(台塑及台化)的融券賣出數量對超額報酬的係數是較大的，也代表被軋空的機會及幅度是較大的，相反的，電子產業(台積電及鴻海)的融券賣出數量對超額報酬的係數是較小的，也代表相對而言被軋空的機會及幅度是較小的。 zh_TW dc.description.abstract (摘要) This study takes the example of the 50 main constituent stocks of Yuanda Taiwan as an example, and studies from which what type and which stocks are easy to roll and not easily rolled out. And from our use of OLS regression method to run out of the results can be seen the following, our empirical results can be found that the traditional industry (Taiwan plastic and Taiwanization) of the amount of securities sold on the excess compensation coefficient is larger, but also represents the opportunity and range of rolling out is larger. On the contrary, the number of securities sold by the electronics industry (TSMC and Hon Hai) has a smaller factor on excess compensation, and also represents a relatively small chance and range of rolling out. en_US dc.description.tableofcontents 第一章 緒論第一節 研究動機與目的 4第二節 研究流程與架構 7第二章 文獻探討第一節 放空與收益之關係 9第二節 融券交易 11第三章 模型跟資料第一節 樣本篩選與資料來源 17第二節 研究變數與定義 17第四章 實證結果與分析第一節 相關係數和趨勢圖 26第二節 穩健性測試(robustness test) 36第五章 結論與建議第一節 結論與建議 43參考文獻 46 zh_TW dc.format.extent 1022753 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107351011 en_US dc.subject (關鍵詞) 融券餘額 zh_TW dc.subject (關鍵詞) 超額報酬率 zh_TW dc.title (題名) 融券餘額對個股超額報酬率之影響 zh_TW dc.title (題名) The impact of margin balance on excess return on individual shares en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2010),“WHAT DO SHORT SELLERS KNOW?”Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang(2012),“WHAT DO SHORT SELLERS KNOW?”Ekkehart Boehmer, Truong X. Duong. R. Huszar(2016), “Short covering trades”Ying, C. C.（1966）, “Stock market prices and Volumes of sales”, Econometrica ,PP.34,676-685.Smirlock, M., & L. Starks(1988）, “An empirical analysis of the stock price volume relationship”, Journal of Banking and Finance ,PP.12,PP.31-41.Lakonishok, J. and S. Smidt,（1989）, “Past Price Changes and Current Trading Volume”, The Journal of Portfolio Management, 15, PP.18-24.JR Woolridge, A Dickinson - Financial Analysts Journal, 1994 - Taylor & FrancisAitken, Michael J., Alex Frino, Michael S. McCorry, and Peter L. Swan, 1998. Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange, Journal of Finance 53, 2205-2223.Dechow, P., A. Hutton, L. Meulbroek, and R. Sloan, 2001, Short-sellers, fundamental analysis and stock returns, Journal of Financial Economics 61, 77-106.Asquith, P., Pathak, A., Ritter, J., 2005. Short interest, institutional ownership, and stock returns. Journal of Financial Economics 78, 243–276.Boehmer, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu, 2006. Short sale constraints, differences of opinion, and overvaluation, Journal of Financial and Quantitative Analysis, Jun2006, Vol. 41 Issue 2, p455-487Boehmer, Ekkehart, Jones, Charles M., Zhang, Xiaoyan, 2008. Which shorts are informed? Journal of Finance 63, 491-527.Boehmer, Ekkehart and Julie Wu, 2010, Short selling and the price discovery process, University of Oregon working paper.Chakrabarty, Bidisha , Pamela C. Moulton, and Andriy Shkilko,2011. Short Sales, Long Sales, and the Lee-Ready Trade Classification Algothrithm Revisited. Journal of Financial Markets, Vol. 15, page 467-491.Engelberg ,Joseph E., Adam V. Reed, Matthew C. Ringgenberg, 2012. How are shorts informed? Short sellers, news, and information processing , Journal of Financial Economics 105, 260-278.王端鎂(1995年)，檢定融資融券比率對股票報酬率之影響，國立政治大學碩士論文張哲章（1998），「融資融券餘額、成交量與股價指數之關聯性研究」，證券金融季刊，第56期，67-94。郭建明(2002)，台灣股市中融資餘額、融券餘額與股價指數之關係大盤與各類股之實證分析陳俊男(2004)，信用交易指標、投資策略與股價超額報酬之關係張馨方(2005)，臺灣股票市場加權股價指數報酬率與融資、融券餘額之相關性研究丁誌魰、曾富敏(2005)，以向量自我迴歸模式探討臺灣股價、成交量、融資融券與法人進出之關聯性廖芳松(2006)，融資餘額,融券餘額與大盤加權股價指數關聯性之研究詹思儒、林靖中、郭玟琇(2008)，平盤以下可融券賣出對股票價格型為之影響吳惠萍(2008年)，融資、融券餘額、外資買賣超對台灣股價影響-分量迴歸之應用，國立台灣大學碩士論文阮浩耘(2008年)，放空限制及股市價格發現功能-以台灣中型100指數為例，國立台灣大學碩士論文陳建宏(2011年)，借券交易對股價變化影響研究，國立台灣大學碩士論文朱民武(2015)，融資融券對股價的影響_基於滬市A股的研究經驗 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000516 en_US
