放空政策在我國已施行三年，但只侷限於臺灣50指數，是否能擴大放寬其他金融商品乃值得研究。本文旨在探討放空政策對波動性的影響，並給予政策上建議。以EGARCH-M模型實證顯示放空政策並非影響波動性的主要因素，長期而言在政策開放後有波動性降低的趨勢；短期而言在空頭時期則有助於波動的穩定，在多頭時期對抑制波動性較不理想。觀察Granger因果關係與脈衝反應函數結果顯示：長期限制放空交易會抑制融券的使用情形，造成波動的衝擊；短期融資的流動性為主要影響波動的因素，開放放空交易則有助於市場融券的流動性，具穩定波動的效果，尤在多頭時期較能反映價格的真實性。 The policy of short sale up-tick rule had been conducted on Taiwan 50 index for three years. It is worthwhile to examine whether this policy applies to other field. The purpose of this thesis is to empirically investigate the effect of the short sale trading system on the volatility of Taiwanese stock returns and infer policy implications from the outcome of this study. The empirical results derived from EGARCH-M model showed that short sales restriction is not the main factor leading to returns volatility. In the long run, there is a declining trend in volatility since the policy was applied. The market volatility is more stable in the short period, than in the long period. The findings from Granger Causality test and Impulse Response Function showed that long-term short sale restriction constrains the usage of trading on borrowed stock which causes an impact on volatility. The most influential factor on the volatility is the liquidity of short-term trading on borrowed stock. We conclude that policy of short selling will help the liquidity of trading on borrowed stock in market and stabilize the effect of volatility which reflects the true value during the long period.
