台灣加權股價指數、融資與融券的門檻關係散戶投資人在經濟景氣與不景氣時的行為變化

Threshold Relationships Among Taiwanese Stock Price Index, Margin, and Short Sale: Behavioral Changes of Small Investors During Economic Prosperity and Recession Periods

本文使用Enders and Granger（1998）的門檻共整合模型與Tsay（1998）的多元門檻模型，來捕捉民國85年到93年國內股價、融資與融券的長、短期非線性關係，亦以民國89年3月20日台灣的首次政黨輪替為經濟景氣與不景氣的分界點，探討此三變數關係的變化。實證結果顯示，在經濟景氣時期台灣股價、融資與融券三變數間並不存在長期的均衡關係，在經濟不景氣時期則相反，且變數間的互動需使用較具彈性的非線性模型才能真正顯現。又因信用交易者承擔的心理壓力較大，我們觀察到了與處分效果（the disposition effect）相反的台灣散戶交易行為。

This study employs Enders and Granger's (1998) threshold cointegration model and Tsay's (1998) multivariate threshold model to detect long-run and short-run nonlinear relationships among Taiwanese stock price index, margin, and short sale during the period of 1996 to 2004. To investigate possible changing relationships among the three variables, we use the first switching date of the ruling party in Taiwan on March 20, 2000 to separate the prosperity and the recession periods. The results show that no long-run equilibrium relationship exists among the three variables during the prosperity period, but the contrary is true in the economic recession period. And we find that more flexible nonlinear models should be employed in order to uncover the true interactions among the three variables. Small traders' behavior opposite to that described by the disposition effect is also observed in Taiwan's stock market since these credit traders bear the heavier psychological pressure.