政府於2005年5月16日宣佈台灣五十成分股可平盤以下放空，這是自亞洲金融風暴後宣佈平盤以下不可放空限制後的第一次開放。以事件研究法來研究平盤以下放空對市場的衝擊，並比較此政策改變的對成分股及台灣五十市場微結構因素的影響。平盤以下放空限制解除的影響在股市報酬相對差時會相對明顯，因此為了解分配中左尾分位的關係所以特別使用分量回歸來研究台灣五十在開放前後的價量關係。實證研究發現，投資人在宣告日對此政策改變出現過度反應的現象，但市場仍給予平盤以下放空的政策改變正面反應。在市場微結構方面，成分股本身則顯著出現波動性下降、流動性上升、買賣價差下降、逆向選擇成本上升等現象，而台灣五十則出現逆向選擇成本上升、買賣價差上升的現象。支持了我們認為平盤以下空限制解除，使市場負面的消息得以反映進而提高市場透明度的假設。最後，台灣五十的分量迴歸顯示在平盤放空前後，其價量關係未有顯著的改變，只是在左尾分量(q1到q25)迴歸係數略較之前小，可能是由於不只台灣五十可平盤以下放空且台灣五十成分股也可平盤以下放空。
本研究也將資料以市值、本益比、股價淨值比做分類，發現高市值、高本益比、高股價淨值比的公司受到平盤以下放空限制的改變幅度較大，並認為此種政策改變，使投資人注意到其中高市值、高本益比、高股價淨值比的股票而導致改變幅度的不同。

Taiwan government announced underlying stocks of TTT (Taiwan Top 50 tracking stocks) exempted from the up-tick rule on May 16th,2005. It has been the first time in a long time since government prohibited short selling under the previous day’s closing price after the Asian financial crisis in 1997. We use event study to examine how the removal of short selling constraint is viewed by the market, and compare the impact of policy change on the underlying stocks and TTT. Besides, the removal of short selling constraint would impact more on the market, when the market return is relatively low. As a result, we use quantile regression to understand the left tail return-volume relation of TTT. Empirical findings suggest that investors overreact to the policy change on the announcement day, however the removal of short sale constraint is valued by the market. As for market microstructure, we find higher liquidity, higher adverse selection cost, lower volatility, and lower bid-ask spread in underlying stocks as well as higher bid-ask spread and higher adverse selection cost in TTT. The empirical results of underlying stocks support our hypothesis that the removal of up-tick rule provides a way to reflect the negative expectations in the market and enhance market transparency. There is no obvious change in the return-volume relation of TTT. We also classify whole sample by market value, PE ratio, and PB ratio, and find companies with high PE ratio, high PB ratio, and high market value are affected more by the removal of short sale constraint. We think the policy change make people pay more attention on high market value, high PE ratio, high PB ratio stocks, therefore contributed the different level of change.

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Notes
Detailed information is available on the website of the TTT (http://www.tw50etf.com).