2008年金融風暴台股限制放空價格對市場穩定及從眾程度影響之研究

The Influence of Short-Sale Price Restrictions on Market Stability and Herding in Taiwan Stock Market during 2008 Financial Storm

10.6697/TBPJ.201212_6(1).0004

鄧瀛培(Albert I. Teng)；劉亞秋(Angela Y. Liu)；薛立言(Paul L. Hsueh)

放空限制 ； 異常報酬 ； 從眾效應 ； 價格波動 ； Short Sales ； Abnormal Return ； Herding Behavior ； Volatility

臺灣企業績效學刊

6卷1期（2012 / 12 / 01）

79 - 107

繁體中文

2008年的金融風暴突顯金融監理的疏失與規範的不足，會使得單一市場的流動性危機擴大成為全球性的災難，因此強化管理機制與適時推出有效的應急措施或許是維持市場穩定的必要之惡。而台股在此期間即曾恢復限價放空作為護盤措施之一，且達71個交易日之久，本研究冀望探討其學理基礎及政策成效。透過「事件研究法」計算異常報酬的變化，驗證其對穩定價格的效益。再從投資決策的行為構面，分析市場從眾程度的消長，探討其對恢復投資信心的成果。實證發現：恢復限制使得平均異常報酬從宣布恢復的前一日到後兩日都轉為正值，突顯市場良好的訊息傳播能力。而解除限制的前後期間，異常報酬都接近於零，並未造成太大的空頭賣壓。至於台股市場的急跌顯與從眾有關，並且存在齊漲略高於齊跌的現象。所以台股運用限價放空護盤，對於緩解從眾現象、抑制殺跌賣壓確實獲得成效。亦因此對於實務上無法遏止的投機及從眾行為，此項措施仍有存在的必要。

It is widely believed that appropriate management mechanisms and effective emergency measures may be a necessary evil to resume the market stability. Short-sale price limits were adopted to support the market stability in Taiwan stock market during 2008 financial storm. This study attempts to clarify the theoretical basis and the effectiveness of such measures. By calculating the changes of abnormal returns and measuring the market herding indicators, we find evidence that the imposition of price limits results in positive average abnormal returns during the 3-day event window of (-1 to +2). The limit lifting, on the other hand, does not seem to cause severe short selling pressure. We also show that the herding behavior is indeed prevalent and much more significant during the bull market than in the bear market. Fortunately, price limits can be an effective tool for the mitigation of such herding phenomenon.

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