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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/64343


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/64343


    Title: Short sales, margin purchases and bid–ask spreads
    Authors: 趙妍;Zhao, Yan;鄭揚耀;Cheng, Lee-Young;張眾卓;Chang, Chong-Chuo;倪慈霙;Ni, Cih-Ying
    Contributors: 財務金融學系
    Date: 201309
    Issue Date: 2013-10-29 17:39:11 (UTC+8)
    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, 24:199-220
    Appears in Collections:[財務金融學系] 期刊論文

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