Short Sales Constraints and Price Discovery-Evidence from Taiwan Mid-cap 100 Index
碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === The Government announced on October 3, 2007 that it will remove the short sales constraints of the compositions of Taiwan Mid-cap 100 Index on November 11, 2007. In this thesis, we try to analyze whether the short sales constraints caused the overvaluation of st...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/65550625038267362447 |
| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 96 === The Government announced on October 3, 2007 that it will remove the short sales constraints of the compositions of Taiwan Mid-cap 100 Index on November 11, 2007. In this thesis, we try to analyze whether the short sales constraints caused the overvaluation of stock market by testing the abnormal returns (ARs) and cumulative abnormal returns (CARs) around announcement and effective dates. There is no significant overvaluation effect around announcement and effective date whether we apply the measurement through market model or market adjusted model. On the contrary, undervaluation of stock price was found around effective date. And stocks of electronic industry accounted the largest portion among all of the undervalued stocks. This result proves that there is no negative effect in the short term if the short sales constraints were removed. And the conclusion could be a reference for government to consider further deregulation of short sales constraints.
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