台股交易市場結構由早期一般散戶投資人交易為重心，逐漸轉變成以法人交易為主，其中又以外資交易比例為重，因此外資交易對台股具有息息相關之影響力，而外資在借券交易上更是引起一般投資人之關注。借券交易在台股的發展過程較信用交易交易晚，故對其探討的文獻也較探討信用交易者少，本次研究以2016年累積借券餘額前十大個股為樣本，期間為2007年1月2日至2016年12月30日之借券餘額及借券賣出日資料的變動是否會影響股價之波動，並利用GARCH-Copula模型進行實證研究。 實證分析結果顯示，借券餘額及借券賣出的變動對個股股價的影響，呈現兩種不同的關係，就借券餘額來說，其變動率對個股股價報酬率呈現正向關係，即當借券餘額變動率增加時，報酬率同時也會增加，此結果呼應主管機關對外宣導借券並不等於借券賣出的說法；而借券賣出變動率的結果顯示卻是與股價報酬率呈現負向關係，與國外文獻及部份國內文獻之實證發現借券賣出對股價有負面影響的結果相同，即借券賣出愈多，股價報酬率呈現下降趨勢，由此可知借券交易及借券賣出的多寡對股價報酬率的影響性。本文的實證結果亦可做為政策及投資實務上的參考。 In the early stage of Taiwan’s stock exchange the majority of the market players were individual investors. Over the years, the market has gradually become dominated by institutional investors among which foreign participants claim the lion’s share. Foreign investment therefore has a significant influence over Taiwan’s stock market. Of all the types of transaction and trades engaged in by foreign institutions, securities borrowing and lending (SBL) have drawn particular attention by general investors. SBL transactions started in Taiwan later in time than margin trading. Because of that, literature regarding SBL is not as prevalent as that of margin trading. The thesis of this paper is based upon research concerning the relationship between a stock’s pricing behavior and the change in its lending balance, as well as the change of the number of shares under lending status being sold. The top ten individual stocks which had the highest cumulative lending balance at the end of 2016 in Taiwan were selected as samples. During the time period of December 30, 2016 through January 2, 2017, each of the samples’ price movements was analyzed daily against the variance of each sample’s lending balance and the number of shares sold on borrowed stocks from the previous trading day. Actual market data was factored into the GARCH-Copula model to see if any and what type of relationship existed. The empirical test resulted in two different relationships. From the perspective of securities lending balance, the delta had a positive relationship with its stock price: when a stock’s lending balance increased so did its rate of return. On the other hand, the increase of number of shares sold on lending status exerted a negative impact on its stock’s price. The result is consistent with research finding in foreign and some domestic publications. In other words, when more borrowed shares were sold, the rate of return of the stock tended to deteriorate. Based on the above, it cannot be ignored how the volume change of securities borrowing and lending transactions and the trades made on such borrowed securities can directly impact the profit rate of a stock.The empirical test results described in this paper can be applied as a reference for policy making as well as practical investment decision making.
