The Effect of Short-Sales Restriction Below The Last losing Price on Distribution of Return: Evidence from Taiwan Market
Date Issued
2005
Date
2005
Author(s)
Wang, Lin-Hung
DOI
zh-TW
Abstract
We analyze the distribution of Taiwan stock market return, to consider how short-sales restriction below the last closing price affects the skewness of return, liquidity and Volatility. This rule affects the stock market when the current price is under the last closing price. We construct a simulation of bootstrap method by classifying trading days. A common conjecture by regulators in Taiwan is this restriction can reduce negative skewness and volatility. We test this conjecture by examining skewness of individual stock returns, turnover and range of return rate. We find returns of firms in large capital size display significantly more negative skewness, but overall market makes no difference. Liquidity decreases significantly, especially in relatively short-term. However, there is no significant difference in Volatility, neither overall market nor large and small companies.
Subjects
平盤以下不得放空
報酬偏態
流動性
波動性
Short-sales restriction below the last closing price
Skewness
Liquidity
Volatility
Type
thesis
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