卖空限价取消前后羊群行为与企业规模的关系

IF 3.2 Q1 BUSINESS, FINANCE
Chiao‐yi Chang, F. Shie, Shu-Ling Yang
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引用次数: 7

摘要

本文研究了卖空价格限制下投资者羊群行为与股票收益之间的关系。台湾于2005年5月16日和2013年9月23日分阶段解除短期销售限制前后,采用详细的日内订单计算羊群数量。前者只针对台湾50指数成份股,后者则针对台湾证券交易所的所有上市公司。使用Chow检验和动态结构变化点检验来证实终止这些限制的效果,结果发现,在小公司股票的背景下,卖空限制增加了个人羊群行为,尤其是那些股票回报率处于低分位数的股票。相反,无论是在个人投资者还是机构投资者的卖空价格限制结束之前还是之后,羊群行为都没有显示出对大公司股票回报的显著影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The relationship between herding behavior and firm size before and after the elimination of short-sale price restrictions
The present paper investigates the relationship between investor herding behavior and stock return under short-sale price restrictions. Detailed intra-day orders are applied to calculate herding measurements before and after a staged lifting of short-sale restrictions on May 16th, 2005 and September 23rd, 2013 in Taiwan. The former targeted the constituent stocks of the Taiwan 50 Index only, while the latter targeted all listed firms on the Taiwan Stock Exchange. Using the Chow test and the dynamic structural change point test to confirm the effect of ending these restrictions, the results found that short-sale restrictions increased individual herding behavior in the context of the stocks of small firms, especially those stocks in the low quantile of stock returns. Conversely, herding behavior was not shown to significantly impact the stock returns of large firms either before or after the end of short-sale price constraints for either individual or institutional investors.
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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