| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 101 === This thesis investigates the impacts of short-sales constraints by factor analysis models. Factor analysis models aim to find the latent factors behind the stock variables, and these latent factors provide more essential information since they are cardinal causes to the stock variables. Four latent factors are unearthed, including dispersion of investment opinion, thriving level on market trade, the ratio of informed trading, and the information content of market price. The deductions by factor analysis models are also verified by cluster analysis, and they agree very well. After that, the factor score of each latent factor is estimated, and the impact of short-sales constraints are statistically inferred by the changes of these factor scores. Both Hotelling''s T2 test and multivariate analysis of variance (MANOVA) are applied to infer the impacts of short-sales constraints, and the results show that the impacts of short-sales constraints are dependent on the international economic environment. As financial crisis strikes economic environment, short-sales constraints significantly influence the information content of market price. Only optimistic opinions are revealed by the stock price, thereby preventing the escalation of stock market crash. On the other hand, when the economic environment is relatively stable, it appears that short-sales constraints have no significant influence on the stock market.
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