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題名 有價證券借貸對借券費率與股價之影響 – 以臺灣股市為例
The Impact of Securities Borrowing and Lending on Lending Fees and Stock Prices: Evidence from the Taiwan Stock Market
作者 蔡孟洵
Tsai, Meng-Hsun
貢獻者 王國樑<br>余威廷
蔡孟洵
Tsai, Meng-Hsun
關鍵詞 有價證券借貸
借券費率
借券賣出
一般化動差法
Securities Borrowing and Lending
Lending Fee
Short-Selling
GMM
日期 2025
上傳時間 1-Jul-2025 15:35:32 (UTC+8)
摘要 本文探討臺灣有價證券借貸中借券費率與股價的影響，首先根據既有文獻將借券費率以及未來股價報酬率分別建立為兩條聯立方程式，資料取自2020至2024年證交所之借券交易，採用聯立方程組及一般化動差法進行實證分析。結果顯示，借券費率方程式中，價值因子、借券賣出使用率、借券賣出集中度與過去股價報酬率有正向影響，而市場超額報酬率、規模因子、市值、成交量動能與外資持股比例有負向影響；未來股價報酬率方程式中，規模因子、成交量動能與外資持股比例有正向影響，而借券費率、市場超額報酬率、價值因子與借券賣出集中度有負向影響。值得注意的是，借券費率對未來股價報酬率呈現顯著負向關係，顯示費率上升可有效預示股價後續下跌的可能性，具有跨期價格預測力。此一結果亦說明，市場應關注借券行為是否反映對後市之偏空預期，而主管機關於市場疲弱時實施限空，亦具一定政策合理性與實務基礎。
This study investigates the impact of securities borrowing fees on stock prices in Taiwan's securities lending market. Based on existing literature, two simultaneous equations are constructed to model borrowing fees and future stock returns, respectively. Using lending transaction data from the Taiwan Stock Exchange covering the period from 2020 to 2024, the analysis is conducted through a system of simultaneous equations estimated via the Generalized Method of Moments (GMM). The results show that in the borrowing fee equation, the value factor, short selling utilization rate, short selling concentration, and past stock returns have significant positive effects, while market excess returns, the size factor, market capitalization, volume momentum, and foreign institutional ownership have significant negative effects. In the future stock return equation, the size factor, volume momentum, and foreign institutional ownership exhibit significant positive effects, whereas borrowing fees, market excess returns, the value factor, and short selling concentration exert significant negative influences. Notably, borrowing fees show a significant negative relationship with future stock returns, indicating that rising fees effectively signal a higher likelihood of subsequent price declines and possess intertemporal predictive power. This finding suggests that market participants should pay close attention to securities borrowing activity as a potential indicator of bearish expectations. Moreover, it implies that the implementation of short-selling restrictions by regulatory authorities during periods of market weakness carries a certain degree of policy justification and practical relevance.
參考文獻 英文參考文獻 1. Beber, A., & Pagano, M. (2013). Short-selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343–381. 2. Beneish, M. D., Lee, C. M. C., & Nichols, D. C. (2015). In short supply: Short-sellers and stock returns. Journal of Accounting and Economics, 60(1), 33–57 3. Boehmer, E., Jones, C. M., & Zhang, X. (2008). The good news in short interest. Journal of Financial Economics, 88(2), 485–500. 4. Chen, S., Kaniel, R., & Opp, C. C. (2023). Market power in the securities lending market. Unpublished working paper, Purdue University and University of Rochester. 5. Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. Journal of Finance, 56(2), 501–530. 6. Cohen, L., Diether, K. B., & Malloy, C. J. (2007). Supply and demand shifts in the shorting market. Journal of Finance, 62(5), 2061–2096. 7. Duffie, D., Gârleanu, N., & Pedersen, L. H. (2002). Securities lending, shorting, and pricing. Journal of Financial Economics, 66(2–3), 307–339. 8. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stock. Journal of Financial Economics, 33(1), 3–56. 9. Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472. 10. Kaplan, S. N., Moskowitz, T. J., & Sensoy, B. A. (2010). The effects of stock lending on security prices: An experiment. Unpublished working paper, University of Chicago Booth School of Business. 11. Palia, D., & Sokolinski, S. (2021). Strategic borrowing from passive investors: Implications for security lending and price efficiency. Unpublished working paper, Rutgers Business School and Columbia Law School. 12. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442. 13. Theil, H. (1953). The repeated least squares applied to complete equation systems. The Hague: Central Planning Bureau. 中文參考文獻 1. 李志宏與徐正義（2013），我國證券借貸相關制度對集中市場之影響，國立政治大學（臺灣證券交易所委託研究計畫期末報告），頁 86-88。 2. 李甜琇（2017），臺灣有價證券借貸交易市場借券成交與借券賣出股價變化之影響，國立臺北大學碩士論文。 3. 曾郁芳（2010），證券借貸市場借券費率決定因子：以臺灣借券資料之實證，國立臺北大學碩士論文。 4. 楊馥慈（2019），借券費率對未來股票報酬率之影響，國立中央大學碩士論文。 5. 薛登霖（2020），證券商借券需求對股票報酬率之影響，國立中央大學碩士論文。 6. 陳俊皓（2024），流通證券、活絡經濟—臺灣有價證券借貸市場20年回顧，臺灣證券交易所。 7. 蒙瑞齊（2021），放空交易與股票報酬率關係，TEJ E Journal，第152期，頁129-138。 8. CMoney 法人決策資料庫。 9. 臺灣證券交易所借券資訊。
描述 碩士
國立政治大學
經濟學系
112258028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112258028
資料類型 thesis
dc.contributor.advisor 王國樑<br>余威廷zh_TW
dc.contributor.author (Authors) 蔡孟洵zh_TW
dc.contributor.author (Authors) Tsai, Meng-Hsunen_US
dc.creator (作者) 蔡孟洵zh_TW
dc.creator (作者) Tsai, Meng-Hsunen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 15:35:32 (UTC+8)-
dc.date.available 1-Jul-2025 15:35:32 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 15:35:32 (UTC+8)-
dc.identifier (Other Identifiers) G0112258028en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157864-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 112258028zh_TW
dc.description.abstract (摘要) 本文探討臺灣有價證券借貸中借券費率與股價的影響，首先根據既有文獻將借券費率以及未來股價報酬率分別建立為兩條聯立方程式，資料取自2020至2024年證交所之借券交易，採用聯立方程組及一般化動差法進行實證分析。結果顯示，借券費率方程式中，價值因子、借券賣出使用率、借券賣出集中度與過去股價報酬率有正向影響，而市場超額報酬率、規模因子、市值、成交量動能與外資持股比例有負向影響；未來股價報酬率方程式中，規模因子、成交量動能與外資持股比例有正向影響，而借券費率、市場超額報酬率、價值因子與借券賣出集中度有負向影響。值得注意的是，借券費率對未來股價報酬率呈現顯著負向關係，顯示費率上升可有效預示股價後續下跌的可能性，具有跨期價格預測力。此一結果亦說明，市場應關注借券行為是否反映對後市之偏空預期，而主管機關於市場疲弱時實施限空，亦具一定政策合理性與實務基礎。zh_TW
dc.description.abstract (摘要) This study investigates the impact of securities borrowing fees on stock prices in Taiwan's securities lending market. Based on existing literature, two simultaneous equations are constructed to model borrowing fees and future stock returns, respectively. Using lending transaction data from the Taiwan Stock Exchange covering the period from 2020 to 2024, the analysis is conducted through a system of simultaneous equations estimated via the Generalized Method of Moments (GMM). The results show that in the borrowing fee equation, the value factor, short selling utilization rate, short selling concentration, and past stock returns have significant positive effects, while market excess returns, the size factor, market capitalization, volume momentum, and foreign institutional ownership have significant negative effects. In the future stock return equation, the size factor, volume momentum, and foreign institutional ownership exhibit significant positive effects, whereas borrowing fees, market excess returns, the value factor, and short selling concentration exert significant negative influences. Notably, borrowing fees show a significant negative relationship with future stock returns, indicating that rising fees effectively signal a higher likelihood of subsequent price declines and possess intertemporal predictive power. This finding suggests that market participants should pay close attention to securities borrowing activity as a potential indicator of bearish expectations. Moreover, it implies that the implementation of short-selling restrictions by regulatory authorities during periods of market weakness carries a certain degree of policy justification and practical relevance.en_US
dc.description.tableofcontents 第壹章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構與流程 2 第貳章 臺灣有價證券借貸市場介紹 3 第一節 有價證券借貸市場沿革 3 第二節 證交所借券系統與證商證金自辦借券業務 6 第三節 融券賣出與借券賣出 9 第四節 借券與融券交易制度整理 10 第參章 文獻回顧 11 第一節 Fama-French三因子模型 11 第二節 借券行為與費率及股價報酬有關文獻 12 第三節 借券行為與費率及股價報酬無關文獻 13 第肆章 實證模型 15 第伍章 實證結果 18 第一節 樣本資料與基本變數分析 18 第二節 解釋變數對借券費率之迴歸結果與論述 20 第三節 解釋變數對未來股價報酬率之迴歸結果與論述 23 第陸章 結論與未來建議 26 第一節 研究結論 26 第二節 未來研究建議 27 參考文獻 28 英文參考文獻 28 中文參考文獻 29zh_TW
dc.format.extent 2026180 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112258028en_US
dc.subject (關鍵詞) 有價證券借貸zh_TW
dc.subject (關鍵詞) 借券費率zh_TW
dc.subject (關鍵詞) 借券賣出zh_TW
dc.subject (關鍵詞) 一般化動差法zh_TW
dc.subject (關鍵詞) Securities Borrowing and Lendingen_US
dc.subject (關鍵詞) Lending Feeen_US
dc.subject (關鍵詞) Short-Sellingen_US
dc.subject (關鍵詞) GMMen_US
dc.title (題名) 有價證券借貸對借券費率與股價之影響 – 以臺灣股市為例zh_TW
dc.title (題名) The Impact of Securities Borrowing and Lending on Lending Fees and Stock Prices: Evidence from the Taiwan Stock Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 英文參考文獻 1. Beber, A., & Pagano, M. (2013). Short-selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343–381. 2. Beneish, M. D., Lee, C. M. C., & Nichols, D. C. (2015). In short supply: Short-sellers and stock returns. Journal of Accounting and Economics, 60(1), 33–57 3. Boehmer, E., Jones, C. M., & Zhang, X. (2008). The good news in short interest. Journal of Financial Economics, 88(2), 485–500. 4. Chen, S., Kaniel, R., & Opp, C. C. (2023). Market power in the securities lending market. Unpublished working paper, Purdue University and University of Rochester. 5. Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. Journal of Finance, 56(2), 501–530. 6. Cohen, L., Diether, K. B., & Malloy, C. J. (2007). Supply and demand shifts in the shorting market. Journal of Finance, 62(5), 2061–2096. 7. Duffie, D., Gârleanu, N., & Pedersen, L. H. (2002). Securities lending, shorting, and pricing. Journal of Financial Economics, 66(2–3), 307–339. 8. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stock. Journal of Financial Economics, 33(1), 3–56. 9. Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3), 457–472. 10. Kaplan, S. N., Moskowitz, T. J., & Sensoy, B. A. (2010). The effects of stock lending on security prices: An experiment. Unpublished working paper, University of Chicago Booth School of Business. 11. Palia, D., & Sokolinski, S. (2021). Strategic borrowing from passive investors: Implications for security lending and price efficiency. Unpublished working paper, Rutgers Business School and Columbia Law School. 12. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442. 13. Theil, H. (1953). The repeated least squares applied to complete equation systems. The Hague: Central Planning Bureau. 中文參考文獻 1. 李志宏與徐正義（2013），我國證券借貸相關制度對集中市場之影響，國立政治大學（臺灣證券交易所委託研究計畫期末報告），頁 86-88。 2. 李甜琇（2017），臺灣有價證券借貸交易市場借券成交與借券賣出股價變化之影響，國立臺北大學碩士論文。 3. 曾郁芳（2010），證券借貸市場借券費率決定因子：以臺灣借券資料之實證，國立臺北大學碩士論文。 4. 楊馥慈（2019），借券費率對未來股票報酬率之影響，國立中央大學碩士論文。 5. 薛登霖（2020），證券商借券需求對股票報酬率之影響，國立中央大學碩士論文。 6. 陳俊皓（2024），流通證券、活絡經濟—臺灣有價證券借貸市場20年回顧，臺灣證券交易所。 7. 蒙瑞齊（2021），放空交易與股票報酬率關係，TEJ E Journal，第152期，頁129-138。 8. CMoney 法人決策資料庫。 9. 臺灣證券交易所借券資訊。zh_TW