本文旨在研究政府開放台灣50 指數平盤下融券放空對指數報酬波動性的影響，並以區分為多空頭市場探討波動性改變的原因。利用GARCH 模型實證結果發現(一)政策開放後的波動性有顯著的降低且政策開放前影響原因，為當日沖銷比率和融券交易量佔總成交量比率，開放後則為融資、融券成交量佔總交易量的比重和融券的增減比率。(二)在多頭市場中，政府開放後波動性較開放前小且影響原因在開放前影響波動性的原因，分別是當日沖銷比率和融券增減比率；在開放後以融券增減比率影響的程度最為明顯；(三)在空頭市場中，在市場開放後波動性比開放前反而大幅的增加，且開放前市場的融資券變化並未明顯影響到指數報酬的波動性；而在開放後，顯示當沖比率和融券總成量比重影響著波動幅度的變化。 There were few studies on the effect of short sale up-tick rule toward stock market. This paper studies the impact of permitting short sale up-tick rule of Taiwan 50 index constituents on the volatility and the determinants of the volatility by comparing and contrasting the government policy with bullish and bear market. The empirical results of this research with GARCH model can be summarized as follows: (1) In the overall market, the result shows that with the opening of the short-sales restriction below the last closing price led to less volatile which may stabilize the stock market. (2) In the bull market, the volatilities decrease insignificantly after deregulation policy and the most impacts of changing effect is the margin of credit trading rate. (3) In the bear market, the volatility of fluctuation increased higher than before, we also found that it had no impact significantly of the volatility, in addition, offset trading and the percentage for borrowing stock would cause a significant impact to the change of the Taiwan 50 index with the policy opening.
