The Effect of Short Sales on the Lead-Lag Relationship between the TAIFEX Index Futures and Its Underlying Index

[[abstract]]限制和禁止融券賣空促使降低市場效率。本文採用誤差修正模型，以研究在賣空機制是否改變對台指期貨和現貨之間的領先滯後關係產生任何影響。在台灣股市賣空限制和禁止的若干重大變化提供了這樣一個測試的機會。在台灣股市賣空限制和禁止數個重大變化提供了這樣一個測試的機會。實證結果表示，從台指期貨其標的指數的賣空限制取消後更加明顯。這意味著，台指期貨市場比現貨市場在市場訊息反應上更有效率，且賣空限制解除改善了傳達市場信息的效率。[[abstract]]Restrictions and prohibitions on short selling reduce market efficiency This thesis uses the error correction model to examine whether the change in short-sales regimes has any effect on the lead-lag relationship between the TAIFEX index futures and its underlying index Several major changes in short sales restrictions and prohibitions in the Taiwan stock market provide an opportunity for such a test Empirical results indicate that a lead from the TAIFEX index futures to its underlying index is more pronounced after the lifting of the short-sales restrictions This implies that the TAIFEX index futures market is more efficient than the spot market in reacting market information and also the lifting of the short-sales restrictions has improved the efficiency of conveying market informatio