A Study of the Relationship between Securities Lending and Stock Price

本研究以證券交易所公告之每日個股股價、每日個股借券交易成交量、每日個股借券賣出成交量及每日個股借券平均成交費率等四個時間序列數據，以向量自我迴歸(VAR)模型來實證分析借券交易與股價變化的關係，並透過Granger因果關係檢定探討各變數間是否存在領先或落後的因果關係，也用衝擊反應函數分析(impulse responses)瞭解借券交易對股價變化的反應函數及其遞延效果。 實證分析結果顯示，不論是借券成交，或是借券賣出，與股價變化無顯著相關，與國外文獻之實證發現借券交易對股價有負面影響的結果不相同，直接呼應台灣證券交易所對外的宣導，借券成交不等於借券放空，借券交易對其股價影響有限。推論原因，可能是台灣借券市場有嚴格的賣出限制、借券擔保品成數與種類要求也較國外嚴格，進而降低了對股價影響的能力。This research mainly adopts vector autoregression model to conduct an empirical analysis of the relationship between securities lending transactions and stock price changes. Four time-series data used in this study are stock price, daily volume of securities lending, daily volume of selling loaned securities and daily average borrowing fees. We not only explore all the variables through the Granger causality test to identify whether there exist causal relationship, but also examine impulse response function analysis to understand the stock price reaction function of the deferred effect by the change of securities lending transactions. The result indicates that both securities lending transactions and selling of loaned securities have no significant correlation with the stock price changes. The findings is not the same as the results from this study collected empirical evidence of foreign literature that SBL transactions have a negative impact on stock prices. Our empirical result directly confirms the claims of Taiwan Stock Exchange that securities lending transactions are not equal to shorting selling and that securities lending transactions have limited impact on the stock price. The reasons may be that there are strict selling restrictions in the Taiwan securities lending market, and the regulations require borrowers to put limited types of collateral and higher initial margin for securities lending, thus reducing the impact on the ability of stock prices