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    Title: Short sales, margin purchases and bid-ask spreads
    Contributors: Pacific-Basin Finance Journal 財務金融學系
    Keywords: Short sales;margin purchases;adverse selection;bid-ask spreads
    Date: 2013
    Issue Date: 2013-07-26 14:37:15 (UTC+8)
    Publisher: Pacific-Basin Finance Journal
    Abstract: This study examines intraday patterns of short sales, margin purchases, adverse selection, and bid-ask spreads in the order-driven market of the Taiwan Stock Exchange (TWSE). We find that both short sales and margin purchases exhibit a U-shaped intraday pattern in the TWSE. We further show that short sales and margin purchases have a significantly positive relationship with adverse selection and bid-ask spreads. We provide evidence that the U-shaped pattern of bid-ask spreads can be explained by short selling and margin trading activities.
    Relation: Pacific-Basin Finance Journal Available online 18 May 2013
    Appears in Collections:[Department of Finance] Journal Article

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