The Substitution and Complementary Effects on the margin Trading of underlying stocks：The introduction of Taiwan single stock futures

[[abstract]]本研究主要探討單一股票期貨上市對標的個股之信用交易行為的影響。本文樣本選擇在台灣證券交易所掛牌，且其個股期貨在樣本期間成交量前二十大的股票為樣本。樣本時間為2009年5月13日到2013年9月4日止。我們修改Gygax et al (2009)所提出的多元迴歸模型，來觀察股票期貨上市對個股融資融券之替代與互補關係。本文以市值、週轉率、本益比和股價淨值比等不同的公司特徵，代表標的公司所具有的風險程度，分析投資人面對不同風險大小時，其對於使用槓桿交易的替代與互補程度之間的差異。實證結果表示股票期貨發行後對個股現貨市場之融資融券交易行為有顯著的替代與互補效果。標的公司風險越低的個股，產生的替代效果相對較大，但產生的互補效果相對較小。而標的公司風險越高的個股，則產生的替代效果相對較小，但產生的互補效果相對較大。[[abstract]]This study investigates the impact of margin trading behavior for underlying stocks after the introduction of single stock futures in Taiwan Futures Exchange The underlying stocks traded on Taiwan Stock Exchange associated with top 20 trading volume in single stock futures contract are used to test the hypothesis The observations cover the period of May 5 2009 through September 4 2013 In addition we modified a multiple regression model proposed by Gygax et al (2009) to examine the relationship is substitution or complementary effect? In addition we employ lots of firm characteristics including market capitalization turnover PE ratio and price to book ratio to stand for the level of risk for the underlying stock Therefore we analyze whether the use of leverage trading impacts the substitution and complementary effect The empirical results indicate that both the substitution and complementary effects exist in the margin trading behavior for the underlying stocks of single stock futures Moreover the lower risk for the underlying stock the relatively large substitution effect and less complementary effect is observed On the contrary when the underlying stocks have higher risk we conclude that the substitution effect is relatively small but complementary effect is relatively larg