ASIA unversity:Item 310904400/38953
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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/38953


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    题名: Short sales, margin purchases and bid-ask spreads
    作者: 
    贡献者: Pacific-Basin Finance Journal 財務金融學系
    关键词: Short sales;margin purchases;adverse selection;bid-ask spreads
    日期: 2013
    上传时间: 2013-07-26 14:37:15 (UTC+8)
    出版者: Pacific-Basin Finance Journal
    摘要: 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.
    關聯: Pacific-Basin Finance Journal Available online 18 May 2013
    显示于类别:[財務金融學系] 期刊論文

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