Short Sales Constraint, Price Discovery, Market Efficiency and Fairness-Taiwan Top50 Tracker Fund

世界各證券市場對於放空交易都有放空限制，然而對於ETF則不作放空限制，此乃因為ETF透明度與流動性相較一般證券高，交易管理上可與指數期貨同。而ETF對於放空市場之所以重要，主要在於它本身豁免於放空限制，使市場多頭空頭結構完整，投資人有管道可以充分反映對於該股所掌握的消息，一但價格偏離基金淨值，投資人也可以透過申購買回策略進行套利，最終結果為ETF價格貼近於基金淨值，股價維持合理價位。當市場股價都能充分反應多空消息，市場效率性將提升，對健全台灣證券市場並往金融自由化前進的一大步，而主要關鍵點便在於完善的賣空機制。 本文主要以台灣50ETF本身豁免平盤以下不能放空這特殊優勢出發，並以台灣五十指數及台灣50ETF實際日交易資料及日內交易資料，運用「事件研究法」，期間以「台灣50ETF上市」及「台灣五十個股豁免融券放空」兩事件為主，觀察存在放空限制與解除放空限制前後期，在價格高估與價格效率性變化情形，此外，也觀察解除放空限制期間對台灣50ETF的影響，以及推估該限制對台灣50ETF放空交易者的放空行為在前後期變動。最後，也針對台灣50ETF本身豁免平盤以下放空限制主要原因在於流動性與透明度足夠，監理機構控管容易，進一步探討如何增加台灣證券市場個股資訊透明度，且該透明度足夠讓個股同樣可從事放空交易，進而促使股價合理化，台灣證券市場的公正度與效率性平衡發展。主要研究結果摘要如下: 1.台灣50ETF法人放空交易者在2005年台灣五十個股豁免放空限制時積極從事實物申購買回套利動作，信用交易量值減少，相對較不活絡。主要原因以往只有ETF可以放空，五十個股豁免後，投資人更有管道從事放空交易。 2.個股豁免放空限制實施對台灣50ETF報酬變動影響在短天期較為顯著。 3.台灣50ETF在兩階段放空限制實施後，價格高估可能性均下降，存在放空機制使ETF市場價格效率提升，在短期間(三個月期)效果較為顯著。 4.放空限制的進一步放寬(2005年)，台灣50ETF賣空交易張數比例(交易量)在事件過後沒有增加，表示放空交易者沒有增加對於交易的需求。此外，我們也沒有發現強而有利證據證明取消放空限制在尾盤會出現賣壓現象。To some extent, almost all stock markets locate short-sell constraints on the short selling transactions process; however, they never do so to ETF thanks to its higher transparency and liquidity making it an easy supervised equity. Further, ETF could be considered as a good implication for the stock market simply owing to its exemption from short sell constraints that brings a strong demand and supply structure In other words, if the ETF price is not equal to its fund NAV (net asset value), investors could make profits by buying back or selling ETFs; in the long run, the price will reverse to its NAV and maintain on a reasonable level. As a result, we could infer that if the price could fully reflect investors’ diversified opinions, the market will be more efficient, and we could expect Taiwan stock market to forge ahead soon. Hence, the key issue lies in a healthy short selling mechanism. This paper tries to figure out whether short sell constraints on Taiwan stock market have significant influence on stock price and price efficiency. We use Taiwan50 index and TW50 ETF daily and intraday data from TEJ database, employee Event Study Method, select two dates as our event date which are “the listed date for TW50 ETF,” and “Taiwan 50 stocks exemption from short selling regulations,” and try to examine the difference before and after the date. Additionally, by summarizing and analyzing the trading frequency changes before or after the periods, we try to understand and estimate how the short sellers trading behavior would vary due to the implementation of regulation.The conclusion of this paper is summarized as follows: 1.Consistent with our assumptions, the institutional investors increased their TW50 ETF purchasing or selling transactions rather than credit transactions after the date when appointed 50 stocks has been exempted from short selling regulations, in other words, investors could only sell short ETF to express their negative opinion toward those 50 stocks and get partially reaction. 2.The exemption policy has a significant effect on TW50 ETF in short term. 3.The two stage of exemption policy has decreased the possibility of price overvaluation and increased the price efficiency of TW50ETF in the short term. 4. We find that the short sell transactions ratio (or the volume) decreased after the second stage of exemption, which means short sellers did not increase their transaction needs