調整股市信用交易條件對股價報酬率與波動性影響之探討

The Influences of Margin Requirements Adjustments on the Return and Volatility of Taiwan Stock Market

10.30003/JRM.200503.0003

曾昭玲(Jau-Ling Tseng)；林政緯(Cheng-Wei Lin)

信用交易 ； 保證金成數 ； 波動性 ； Margin Trading ； Margin Requirements ； Volatility ； GARCH ； EGARCH-M

風險管理學報

7卷1期（2005 / 03 / 01）

53 - 77

繁體中文

本文旨在探討我政府之信用交易管制措施能否達到影響股價報酬率與其波動性的效果，遂利用事件研究法，並援引GARCH與EGARCH-M模型檢測政府調整信用交易條件是否具有效性。本研究發現政府調高或調低融資比率幾無宣告效果，然調低融券保證金成數較具顯著抑止股市上揚的效果，惟持續時間不長，而調高融券保證金成數幾無顯著宣告效果，甚且渠等之長期效果幾不復見。其次，融資比率與融券保證金成數的調整對大盤報酬率實無顯著影響；惟融資利率與融券利率的變動於1997年實施新制後對股價報酬率始有較明顯的影響。再者，融資比率與融券保證金成數的調整分別對市場波動性具顯著負向與不顯著正向影響，融資利率則顯著正向影響市場波動性；而因果關係檢定則支持融資融券信用交易條件的調整多未顯著影響股市波動性，惟波動性多顯著影響融資比率與融券保證金成數的調整。

This study examines the influences of margin requirements adjustments on the stock return and volatility of Taiwan stock market by the event study, GARCH, and EGARCH-M analysis. The empirical results support that the announcement effects of a series of adjustments of margin requirements are generally invalid for a shorter period of time, except that a higher margin requirement of short sales, but all the effects of margin adjustments are invalid for a longer period of time. Furthermore, the adjustments of margin requirements have no significant effect on stock index return, but the changes of interest rate of margin trading have significant effects on stock index return only after the implementation of the new margin trading rule in 1997. The higher margin requirements of long positions and short sales are significantly negatively and insignificantly positively associated with the volatility of Taiwan stock market, respectively, and the interest rate of margin buying is also significantly positively associated with the volatility of Taiwan stock market. The empirical results of Granger-Causality test further confirm that the adjustments of margin requirements do not cause the volatility of stock returns in Taiwan, but not vice versa.

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