English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113311/144292 (79%)
Visitors : 50925644      Online Users : 970
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153841


    Title: 借券賣出交易對股票報酬率之影響
    The Impact of Short Selling on Stock Returns
    Authors: 徐政義;李志宏;馬瑞辰;魏慧珊
    Shiu, Cheng-Yi;Lee, Jie-Haun;Ma, Jui-Chen;Wei, Hui-Shan
    Contributors: 國貿系
    Keywords: 借券交易;股票放空;股票報酬率
    Securities lending;Short selling;Stock return
    Date: 2017-06
    Issue Date: 2024-10-04
    Abstract: 本文探討2007 至2011 年間臺灣上市股票借券賣出交易與股票報酬率之關聯性。從日內資料的逐筆分析，發現借券賣出交易有群聚的現象，其可能與交易人拆單有關，而借券賣出交易並不會立即衝擊日內的價格。然而，從日資料分析，借券賣出交易與股票的未來報酬率呈負向關係，即當借券賣出交易增加時，未來有顯著為負的報酬率，且股價並沒有反轉的現象，曆時的四因子模型分析亦有類似結果。研究結果顯示借券賣出交易有利於將股票的負面消息透過借券賣出來反映在股價上，有利於提升市場的效率性。
    This paper examines the short-selling activities and stock returns during the period from 2007 to 2011. The intraday analysis shows that short sales cluster in some trades, suggesting that short sellers split their trades into smaller orders. The tick-by-tick analysis also demonstrates that short sales do not instantaneously impact short-term stock prices. However, the daily analysis shows a negative association between short sales and future equity returns. Stocks with more short sales tend to have lower subsequent equity returns. More important, the low subsequent equity returns associated with high short sales are permanent and do not reverse in the future. The results from Fama-French and Carhart four-factor model are quantitatively similar. Overall, our empirical results suggest that short sales are helpful in incorporating negative information into the equity prices and resulting in improvement in market efficiency.
    Relation: 證券市場發展季刊, Vol.29, No.2, pp.75-106
    Data Type: article
    DOI 連結: https://doi.org/10.6529/RSFM.2017.29(2).3
    DOI: 10.6529/RSFM.2017.29(2).3
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML79View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback