Are credit traders informed investors
碩士 === 國立中正大學 === 財務金融所 === 98 === This paper investigates the informational role of short-selling and margin-trading in the Taiwan stock market. Based on the daily data from 2003 to 2007, short-sale accounts for more than 1.3% of TWSE volume and margin-trade accounts for more than 31.3% of TWSE vol...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96175987471709628585 |
| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 98 === This paper investigates the informational role of short-selling and margin-trading in the Taiwan stock market. Based on the daily data from 2003 to 2007, short-sale accounts for more than 1.3% of TWSE volume and margin-trade accounts for more than 31.3% of TWSE volume, suggesting that short-sellers and margin- traders play an important role in TWSE market. Short-sellers increase their trading following negative returns and margin-traders increase their trading following positive returns. This implies that both short-sellers and margin-traders are momentum traders. Besides, the average margin position is 20 trading days and the average short position lasts 15 trading days. Finally, heavily shorted stocks underperform lightly shorted stocks and heavily margined stocks outperform lightly margined stocks show that they correctly predict future returns. The results indicate that both short-sellers and margin-traders are informed traders.
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