台灣股市賣空共移與總合賣空交易的預測能力

Commonality in Short Selling and Predictability of Aggregate Short Selling in Taiwan Stock Market

10.29416/JMS.201810_25(4).0002

王子湄(Zi-Mei Wang)；林怡君(Yi-Chun Lin)

賣空共移 ； 總合賣空交易 ； 法人 ； 市場情緒 ； Commonality in Short Selling ； Aggregate Short Selling ； Institutional Investor ； Investor Sentiment

管理與系統

25卷4期（2018 / 10 / 01）

493 - 535

繁體中文

本文從整體市場層次出發，利用台灣股市散戶融券賣空與法人借券賣空交易，探討賣空者能否掌握較佳的整體市場資訊。首先，我們觀察到賣空共移現象，亦即個股融（借）券賣空活動會隨著整體市場以及同產業賣空活動一起增減。總合融（借）券賣空與未來短期大盤報 酬有顯著的正（負）相關，比起空頭市場，多頭期間總合融（借）券賣空與未來大盤走勢有更強烈的關係。另外，台灣股市在市場發生大變動時會採取暫時性的賣空限制政策，這種政策性調整會降低整體法人借券賣出對大盤走勢的預測能力。散戶因為無法正確掌握整體市場的盈餘宣告內容、重要經濟指標表現以及市場情緒，使得總合融券水準成為未來大盤走勢的反向指標。相反地，法人能掌握較佳的整體市場資訊，當總合借券賣出增加時，未來大部分公司的盈餘宣告內容將比市場預期來得差，而且法人能正確掌握整體市場情緒變化。

This paper investigates whether aggregate short selling contains information about the future market return by using individual and institutional investor's short selling in Taiwan stock market. Evidence shows that short sales in individual stocks co-move significantly with both market- and industry-aggregated short sales no matter of individual or institutional investors. The institutional (individual) investors' daily aggregate shorting flows are negatively (positively) related to future market return. The above mentioned relationship is stronger in the bullish period. Taiwan stock market adopted some temporary short-sale restrictions when market is too highly volatile and such restrictions would decrease the informativeness of institutional investors' aggregate shorting flows. Individual investors are noise trading about the state of economy and investor sentiment. On the contrary, institutional investors possess superior market-wide information about future aggregate earnings news and the investor sentiment.

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