Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market
碩士 === 國立交通大學 === 管理學院經營管理學程 === 107 === With the development of the economy and the gradual opening of the securities market, the retail investors who use securities investment as one of the financial management methods that constitute a unique Taiwan investment structure that is different from the...
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ndltd-TW-107NCTU56270502019-11-26T05:16:46Z http://ndltd.ncl.edu.tw/handle/q27nep Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market 借券與融券交易之動態關聯探索 – 以台灣股市為例 Jhang, Ming-Jie 張銘傑 碩士 國立交通大學 管理學院經營管理學程 107 With the development of the economy and the gradual opening of the securities market, the retail investors who use securities investment as one of the financial management methods that constitute a unique Taiwan investment structure that is different from the international stock market. In the past, many documents have discussed how short interest affect the stock returns, but rarely considers the short-selling balance of securities lending and the time factor. The purpose of this study is to explore the dynamic relationship between changes in short-selling balance of securities lending and changes in short interest. This study takes Taiwan's stock market as the main field and collects the data from Taiwan Economic Times (TEJ) database to explore the relationship between the short-selling balance of securities lending and the short interest of listed companies in Taiwan for the past five years (2014-2018) and examine the moderating effect of industry type in the relationship. The empirical results show that, overall, the changes in the short-selling balance of securities lending and the changes in short interest is significant and the dynamic relationship is moderated by industry type including the result of significant negative in electronic industry. This study summarizes the dynamic relationship with discussion in management implications. Ding, Cherng 丁承 2019 學位論文 ; thesis 41 zh-TW |
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碩士 === 國立交通大學 === 管理學院經營管理學程 === 107 === With the development of the economy and the gradual opening of the securities market, the retail investors who use securities investment as one of the financial management methods that constitute a unique Taiwan investment structure that is different from the international stock market. In the past, many documents have discussed how short interest affect the stock returns, but rarely considers the short-selling balance of securities lending and the time factor. The purpose of this study is to explore the dynamic relationship between changes in short-selling balance of securities lending and changes in short interest. This study takes Taiwan's stock market as the main field and collects the data from Taiwan Economic Times (TEJ) database to explore the relationship between the short-selling balance of securities lending and the short interest of listed companies in Taiwan for the past five years (2014-2018) and examine the moderating effect of industry type in the relationship. The empirical results show that, overall, the changes in the short-selling balance of securities lending and the changes in short interest is significant and the dynamic relationship is moderated by industry type including the result of significant negative in electronic industry. This study summarizes the dynamic relationship with discussion in management implications.
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author2 |
Ding, Cherng |
author_facet |
Ding, Cherng Jhang, Ming-Jie 張銘傑 |
author |
Jhang, Ming-Jie 張銘傑 |
spellingShingle |
Jhang, Ming-Jie 張銘傑 Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
author_sort |
Jhang, Ming-Jie |
title |
Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
title_short |
Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
title_full |
Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
title_fullStr |
Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
title_full_unstemmed |
Exploring the Dynamic Relationship between Securities Lending Transaction and Short Selling – A Study of Taiwan Stock Market |
title_sort |
exploring the dynamic relationship between securities lending transaction and short selling – a study of taiwan stock market |
publishDate |
2019 |
url |
http://ndltd.ncl.edu.tw/handle/q27nep |
work_keys_str_mv |
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