外資為何在台灣金融市場瘋狂借券？──以2008年金融崩解及其後效為鑒

Why Does QFII Crazy for Short Selling in Taiwan's StockMarket?-A Review of the 2008 Financial Crash and ItsAftermath

在國際金融自由化的趨勢下，我國自2007年起大幅放寬外資借券放空來避險，然而在國際金融崩解之際（2008－2011），反而對市場的穩定產生衝擊，也造成國內投資人莫大傷害。本研究首先採用中鋼（2002）和台灣50ETF（0050）日資料證明外資借券並不單純避險，其次根據我國期貨市場2004年至2011年的每日數據資料，探討台灣不同之機構投資人，在各自既有的現貨資料下，比較若是擁有外資借券資訊的優勢時，是否可以增強在期貨市場的操作獲利？實證結果顯示：擁有外資借券資訊在短線期貨市場操作具有極佳的報酬優勢。

Following the trend of international financial liberalization, Taiwan expands the policy of securities lending for QFII in 2007. However, this deregulation policy creates tumbling in financial market during 2008-2011 and hurt local investor badly.Firstly, this study adopts the daily stock price of 2002 and 0050 to prove that QFII's short selling is not just for hedging. Secondly, Using high-frequency data from TXF, this study try to investigate the motivation of QFII crazy for short selling in Taiwan's stock market. In order to prove that their doing is not simply for hedging, we test whether or not Taiwan's QDII with the information of securities lending to QFII can improve their performance in Taiwan's futures market during 2004-2011. The empirical evidence shows that the information of securities lending to QFII is critical to QDII's operation in the short run and the reward is huge.