本研究以交易人類別將賣空交易區分為散戶賣空與法人賣空，主要研究目的為賣空交易之驅動因素、賣空交易與報酬之互動關係和賣空限制解除後對個股績效之影響。本研究實證結果發現法人因避險需求賣空而散戶則是因投機需求而賣空，且法人與散戶賣空的公司特性不同。在賣空交易之互動關係發現散戶賣空會領先法人賣空且散戶賣空比法人賣空能影響下期股價報酬，但股價報酬也會同時影響到下期賣空交易。在賣空限制解除的相關研究中，發現允許法人借券賣空會降低股價高估程度，但在流動性、效率性指標、波動性與報酬率偏態則沒有顯著改變；平盤以下可以放空的改變對個股的流動性與效率性提升較多。

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目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究貢獻 3
第二章 文獻探討 4
第一節 賣空交易與股價報酬 4
第二節 賣空限制 10
第三節 投資人行為 13
第三章 研究假說 15
第一節 賣空交易的驅動因素 15
第二節 融券賣空、借券賣空與股價報酬的互動關係 16
第三節 賣空交易能否影響下期股價報酬 17
第四節 允許法人借券賣空對個股績效的影響 17
第四章 資料與研究方法 19
第一節 樣本描述 19
第二節 變數設定 19
第三節 實證模型 26
第五章 實證分析 32
第一節 樣本期間市場概述 32
第二節 敘述統計 35
第三節 實證結果 40
第六章 結論與建議 57
第一節 論文結論 57
第二節 建議與限制 58
第七章 參考文獻 59
第八章 附錄 64

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