以富邦上証 180 基金(證券代號:006205)與富邦上証 180 單日反向一倍基金(證券代號:00634R)兩檔作為樣本，本篇論文使用迴歸分析，探討融資、融券、借券餘額對於後續 ETF 報酬是否具有解釋的能力，台灣信用交易市場較為特殊，買空交易使用融資買進，賣空交易主要分為一般投資人為主的融券以及機構法人為主的借券兩種，研究結果發現上証 ETF 融資餘額對於後續上証 ETF 持有 10 日與 20日報酬率呈現正向相關，且融資餘額變化可預測日後股價會呈現上漲趨勢；上証ETF 融券餘額對於後續上証 ETF 持有 5 日、10 日與 20 日報酬率呈現負向關係，且融資餘額可預測的日後股價會呈現下跌趨勢。

Using Fubon Shangsuo 180 Fund (stock code: 006205) and Fubon Shangsuo 180 single-day reverse double fund (stock code: 00634R) as the sample, this paper explores whether the margin trading (including long and short trading) in Taiwan help predict the index spot return listed in China. A unique feature in the Taiwan stock market is that there are two forms of stock loans: one for retail investors and the other for institutional investors. Unlike the common view that retail investors are noise traders, the empirical results indicate that retail investors, long-purchase positively predicts the index returns for up to 20 days, whereas the short-selling of both retail and institutional investors negatively predicts the index returns for 5 to 10 days.

1﹞ Asquith, Paul, Parag Pathak, and Jay R. Ritter, (2005)“Short Interest, Institutional Ownership, and Stock Returns”, Journal of Financial Economics.,Vol.78,pp. 243–276.
﹝2﹞ Brent,A. D, Morse and E. K. Stice (1990)“Short Interest: Explanations and Tests”Journal of Financial and Quantitative Analysis ,Vol.25, pp.273–289
3﹞ Barber, B. M., Lee Y. T., Liu Y. J. and Odean, T. (2007), “Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan,” European Financial Management, Vol.13,pp.423-447.
﹝4﹞ Christophe, S. E.,Ferri,M.G and Angel,J.J (2004), “Short-Selling Prior to EarningsAnnouncements,” Journal of Finance, Vol. 59, pp.1845-1876.
﹝5﹞ Chang, E. C.,Y. Luo and J. Ren (2014),“Short-Selling, Margin-Trading, and Price Efficiency: Evidence from the Chinese Market,” Journal of Banking and Finance,Vol.48, pp.411-424.
﹝6﹞ DeLong, J. B.,Shleifer.A,Summers,L.H. and Waldmann,R.J. (1990), “Noise Trader
Risk in Financial Markets”, Journal of Political Economy,Vol. 98,pp. 703-738.
﹝7﹞ Daniel, K.,Hirshleifer, D.,Subrahmanyam, A.,(1998).“Investor Psychology and Security Market Under- and Overreactions”. Journal of Finance ,Vol.53, pp.1839-1885
﹝8﹞ Mohamad, A.,Jaafar,A.Hodgkinson,L. and Wells,J. (2013),“ Short Selling and Stock Returns: Evidence from the UK”, The British Accounting Review,Vol. 45,pp. 125-137.
﹝9﹞ Pownall, G and P. Simko (2005)“The Information Intermediary Role of Short Sellers” Accounting Review,Vol. 80,pp.941-966.
﹝10﹞ Seneca,J(1967)“Short Interest Bearish or Bullish”Journal of Finance,Vol. 22,pp.67-70.
﹝11﹞ Takahashi, H. (2010),“Short-Sale Inflow and Stock Returns: Evidence from Japan,” Journal of Banking and Finance, Vol.34,pp. 2403–2412.
﹝12﹞Woolridge,J.R.,and A.Dickinson,(1994),“Short Selling and Common Price”,Financial Analysts Journal,Vol.50,pp.20-28.
﹝13﹞周賓凰、張宇志、林美珍，(2007)，投資人情緒與股票報酬互動關係，證券市場發展季刊 19(2)，153-190。
﹝14﹞周賓凰、池祥萱、周冠男與龔怡霖 (2002)，「行為財務學：文獻回顧與展望」，《證券市場發展季刊》，第14卷，第2期，頁1-47。
﹝15﹞林崇英 (2012)，「我國證券借貸與信用交易制度概述」，《證交資料》，第599期，47-51。
﹝16﹞張文毅，2013，有價證券借貸之釋疑、啟示及建議，證券暨期貨月刊 31:3，12-23。