The Impact of Short Sale Ban during Financial Crisis on Market Liquidity, Stock Returns and Price Efficiency
| Autor: | Wen-Yuan Wang, 王文遠 |
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| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 This study examine the impact of the 2008 short sale ban on market liquidity, stock returns and price efficiency of the Taiwan stock market. The results indicate that under short sale ban, the liquid stocks experience significant liquidity decrease. Moreover, the stock with higher liquidity have significantly negative abnormal return under the ban. On the other hand, the stock with higher divergence of opinion have significantly positive abnormal return during the period of the ban, which is consistent with the argument of Miller(1977). In addition, we do not find evidences that short sale ban harms the price efficiency. Instead, our results show that price efficiency increases significantly when the short sales are banned. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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