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决定放空者行为的门槛值及放空行为之资讯性

【中文摘要】:过去文献发现放空者主要为逆势操作者之理念不断遭受学者的质疑,其中学者Blau et al. (2009) 发现在非正常市场状态下,放空者行为由逆势操作者转变为跟随群众趋势,打破放空量与报酬为线性关係的说法。除此之外,台湾证交所增加融借券资讯的透明度,使得投资者拥有更多讯息观察市场的走势,因此本文希冀利用融券余额、融券卖出、借券余额与借券卖出探讨放空量与报酬的关係,以及何者放空量对于股价的影响程度较大。
首先,本文探讨放空量与报酬两者是否为线性关係,故利用Hansen(1999)门槛模型估计放空者转换放空行为的报酬门槛值,结果发现部分股票放空量与报酬为线性关係,部分则为非线性关係。此外,散户放空者的放空行为若以融券余额为放空量代理变数,当报酬小于门槛值时,放空行为为动能投资者,大于门槛值时则转换逆势操作者;若以融券卖出为放空量代理变数,其放空行为以动能投资者为主,而偏态係数为主要影响报酬门槛值的股票特性,两者为显着负相关。
其次,分析不同投资人类型放空的股票特性。以散户来说,不论长期或短期,当个股具有流动性差、报酬左偏、高法人持股比、高市帐比、价格效率性差与低波动度之特性时,放空量对报酬有显着的负向影响;以法人而言,放空量对于报酬影响程度较大的唯一股票特性为偏态係数。整体而言,法人的前期放空量对于当期报酬影响程度较散户大,且影响程度随时间拉长而增长。
【英文摘要】:According to literature, they support that short sellers are contrarian. However, Blau et al. (2009) found during extreme market movements, the behaviors of short sellers switch to follow the crowd. This finding points out that the relationship between short interest and return is not liner. In addition, TWSE enhance the transparency of short selling, so investors have more information to examine the market trend. Therefore, we try to use the different proxy variables of short interest to measure the relationship between short interest and return, and find out which proxy variable has greater influence on return.
First of all, we use the sample of Taiwan Market to discuss the relationship between short interest and return. Since some of stock is not linear, we use threshold model, brought up by Hansen in 1999, to estimate the threshold. We find out the short sellers in Taiwan have the following behavior : (1) momentum when smaller than the threshold but become contrarian when greater than the threshold, or (2) momentum. Furthermore, skewness is the major feature to influence the threshold and is significant negative.
For individual, whether in long term or short term, short interest of stocks with low liquidity, left-skewed, high ownership, high MB ratio, low price efficiency, will have greater influence on return; for institution, skewness becomes the only feature to influence the return. Overall, short interest of institution has greater influence on return than individual, and the influence will get stronger as time goes by.
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  • 来源:中山大学;作者:许婷茹
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