Information content of short sales constraints and short selling

• Main Authors: Hsueh-Cheng Hsu, 許學澄
• Other Authors: Yu-Chuan Huang
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/21038801206042938112

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 103 === This study examines the impact of speed of price adjustment since short sales constraints were exempted. Taiwan''s government exempted the short sales constraints on the component stocks of Taiwan 50 index and Taiwan 100 index in 2005 and 2007 successively. In 2013, Taiwan''s government exempted the short sales constraints for almost all the stocks on Taiwan Stock Exchange. This study separates its study period to three sub periods and choose 10 stocks from component stocks of Taiwan 50 index and Taiwan 100 index and non-component stocks respectively to our sample stocks. This study presents empirical evidence that exemption from short sales restrictions contributes to increase the speed of price adjustment to information and reduce stocks’ trading continuity. But there is no significant difference in quote reversals. We found that speed of price adjustment of domestic Institutions is faster than speed of foreign Institutions, speed of foreign Institutions is faster than speed of retail investors.