调整股市信用交易条件对股价报酬率与波动性影响之探讨.pdf

風險 管理學報 第七 卷 第一 期 2 0 0 5 年 3 月 Journal of Risk Management Vol.7 No.1 March 2005 pp. 53-77 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 ** *** 曾昭玲 (Jauling Tseng) 林政緯 (Cheng-Wei Lin) 摘 要 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。 關鍵字：信用交易、保證金成數、波動性、 GARCH 、EGARCH-M 。 Abstract 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