Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market
碩士 === 銘傳大學 === 財務金融學系碩士班 === 104 === The role of short selling in financial markets has been a subject of intense debate among academics, practitioners and regulators for decades. Nearly all of the research focuses on the information content of short selling at the individual stock level. In this...
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ndltd-TW-104MCU002141372017-02-11T16:10:01Z http://ndltd.ncl.edu.tw/handle/27144338491978606837 Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market 台灣股市賣空共移與總合賣空交易的資訊內涵 Lin, Yi-Chun 林怡君 碩士 銘傳大學 財務金融學系碩士班 104 The role of short selling in financial markets has been a subject of intense debate among academics, practitioners and regulators for decades. Nearly all of the research focuses on the information content of short selling at the individual stock level. In this paper, we investigate whether aggregate short selling contains information about the future market return by using general investor’s and institutional investor’s short selling in Taiwan stock market. First, we study if the commonality in daily short selling flows of individual stocks exists and explore the sources of commonality. We also examine whether aggregate shorting forecasts market returns. Finally, we study the sources of informational advantage, including possessing superior information about future aggregate earnings news, macroeconomic news, and investor sentiment. Empirical results further prove that aggregate individual short sellers predict wrong future market returns. Therefore, investors can consider individual short selling as a contrarian indicator for future market return. Moreover, our results shows that institutional short sellers are not only possessing superior firm level information but also possessing market wide information. That is, institutional short sellers are informed trader. They are informed about future aggregate earnings news and investor sentiment. WANG,ZI-MEI 王子湄 2016 學位論文 ; thesis 51 zh-TW |
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碩士 === 銘傳大學 === 財務金融學系碩士班 === 104 === The role of short selling in financial markets has been a subject of intense debate among academics, practitioners and regulators for decades. Nearly all of the research focuses on the information content of short selling at the individual stock level. In this paper, we investigate whether aggregate short selling contains information about the future market return by using general investor’s and institutional investor’s short selling in Taiwan stock market. First, we study if the commonality in daily short selling flows of individual stocks exists and explore the sources of commonality. We also examine whether aggregate shorting forecasts market returns. Finally, we study the sources of informational advantage, including possessing superior information about future aggregate earnings news, macroeconomic news, and investor sentiment. Empirical results further prove that aggregate individual short sellers predict wrong future market returns. Therefore, investors can consider individual short selling as a contrarian indicator for future market return. Moreover, our results shows that institutional short sellers are not only possessing superior firm level information but also possessing market wide information. That is, institutional short sellers are informed trader. They are informed about future aggregate earnings news and investor sentiment.
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author2 |
WANG,ZI-MEI |
author_facet |
WANG,ZI-MEI Lin, Yi-Chun 林怡君 |
author |
Lin, Yi-Chun 林怡君 |
spellingShingle |
Lin, Yi-Chun 林怡君 Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
author_sort |
Lin, Yi-Chun |
title |
Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
title_short |
Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
title_full |
Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
title_fullStr |
Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
title_full_unstemmed |
Commonality in Short selling and Information Content of Aggregate Short selling in Taiwan Stock Market |
title_sort |
commonality in short selling and information content of aggregate short selling in taiwan stock market |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/27144338491978606837 |
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