| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 98 === The study focuses is the speed of price adjustment when Taiwan Stock Exchange Corp. (TSEC) relax short sales restrictions on the Taiwan 50/100 index (T50/T100) components. Furthermore, we apply the dynamic unrestricted VAR and Dimson beta regressions models to measure the impact of new public/private firm-specific information.
The pric adjustment reversal of T50/T100 has been on the rise when trading restrictions are completely removed. Only the price adjustment reversal of T50, belongs to the type-one sample, however, has been increasing in the long run. The speed of autocorrelation in the trade has been decreasing both in short and long term. The extents of reaction to the market information of type-one sample and type-two sample before the restrictions removed are higher than the time after the restrictions are removed.
Finally, by adopting cross-sectional regression, we can see that, on the one hand, shortly after the changing of trading mechanism, the adjustment speed of short sales influenced by information is a positive correlation. On the other hand, after a certain period of the removal of trading restrictions, the adjustment speed of short sales do not necessarily signal a positive correlation comparing with the initial period.
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