融券賣空對台指期貨與現貨領先落後關係之影響

• Main Authors: Pao-Ching Tseng, 曾寶慶
• Other Authors: Jan-Chung Wang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/78272010211695467856

碩士 === 國立高雄第一科技大學 === 金融系碩士班金融組 === 104 === 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 information.