本研究針對台灣中型100指數成分股從2007年11月12日，開放得低於前一營業日收盤價從事融券放空之政策，此事件對股價行為之影響，本文以事件研究法分析此事件對股價異常報酬、波動性、及流動性之影響，實證結果顯示，政策開放後，成分股之股價日報酬率在政策開放前預期心理導致產生異常負報酬，而在政策施行後則呈現顯著異常正報酬之反轉現象，顯示政策施行前具有過度反應之現象，在波動性中，則呈現風險增加，於衡量流動性變數中的深度及週轉率，則均呈現顯著降低之現象，因此，政府雖朝向市場自由化之目標，但考量市場風險性及流動性下，宜採漸近方式，逐步放寬融券賣出市值較大之股票以降低對市場的衝擊、波動性增加及流動性降低等不利影響。

The restriction of short-sale prices, which states that short-sale prices must not be lower than the closing price of previous trading day, had been released to the constituent stocks of the TSEC Taiwan Mid-Cap 100 index on November, 12, 2007. This study investigates the effects of waiving restriction on the price impact, market liquidity and price volatility. The Empirical results show that just before the waiving, there are abnormal negative returns on those component stocks. After the waiving, the abnormal return becomes positive. It shows a V shape. Furthermore, their volatilities increased and the market depth to measure the market liquidity decreased significantly after releasing the restriction. Therefore, the authorities should re-consider the impact on the market when they try to release the regulation toward the market freedom.