| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 87 === ABSTRACT
The same as the margin requirements regulation of the United States, our government are also granted to have the responsibility to reduce the use of excessive credit in the securities transactions and the volatility of the stock prices. The government had ever changed the margin regulations several times since 1970.Until 21 October 1997,the government stopped using the “margin regulation index” to control the stock market. In contrast to that, the margin requirements in the equity market are controlled as the “selective regulations” of the government authority.
The purpose of this study is to assess the state of the margin policy of the Taiwan Securities Market. This study empirically examines the two main directions including the information effect and the risk management in the securities market of the margin policy separated from the October 1997. Prior to other academic evidences, this research applies the Regression analysis and GJR-GARCH and E-GARCH model to measure the evidence of the margin policy effect. The empirical results are as follows:
1.This study have defined two information effect of the margin policy, the evidence tells that there exist the significantly relations between the margin requirements and the volatility of the Taiwan stock market, but no empirical effect with the volume value since October 1997.
2.During the evidence research period, there exist the significantly relationship between the margin regulation and the volatility of the stock market. In consequently, the margin policy should be a useful regulation to reduce the volatility of the stock price in contrast to the short sell regulation policy.
3.No matter setting several different dummy variables to examine the effect of the margin policy as the risk management in the stock market, we can’t find there exist any significantly effect to conclude that it is a good way to use the margin regulation to control the volatility of Taiwan stock market from the empirical time July 1995 to Feb 1999.
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