从市场整合观点看放空限制取消之跨市场影响

Intermarket Impacts of the Removal of Short-Sale Constraints—From the View of Market Integration

摘要: 以前美国放空限制规定投资人放空股票时，该交易价格比先前价格高或与先前交易价格相同，但该先前交易价格必须比其前一价格为高方可放空。美国证券管理委员会取消此放空限制之规定，自2007 年7 月6 日起生效。许多同时在美国交叉上市发行美国存托凭证的标的股市场都会受到此法规改变的冲击。本文研究美国放空限制之取消对亚太三个标的股票市场(中国内地、中华台北及香港)的跨市场影响。实证研究显示美国放空限制取消之后，三个市场的标的股股价会受到冲击，有迹象显示出投资人原本操作原市场标的股，会转而投资美国存托凭证。此现象似乎反应在采样期间，亚太三个市场与美国市场并未充分整合在一起，有交易单流出的现象。

Abstract: The Securities and Exchange Commission in the United States eliminated the short-sale price test restrictions on July 6, 2007. The purpose of this study is to examine the intermarket effects of the US’ removal of short sale constraints on underlying stocks of American Depositary Receipts in three Asia-Pacific markets—China Mainland, Chinese Taipei and Hong Kong. The empirical findings show that after the removal, price qualities of the underlying stocks seem to deteriorate, implying order flow migrations from the three markets to the US market. The results also provide evidence against the integration of the three markets with the US market during the sample period.