کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961532 | 1478938 | 2016 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Focusing on index deletions, which are events strongly associated with temporal liquidity shocks, we analyze the trading activities of short sellers around these events. Using daily short selling data from Japan, we find that short sellers show trading patterns consistent with the predatory trading in Brunnermeier and Pedersen (2005). Short sellers appear to earn profits by selling short immediately after the announcement and buying back close to the effective day. We also find that intense short selling around the announcement date results in larger subsequent return reversals. The results suggest that short selling disturbs price efficiency around the index deletions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 27, January 2016, Pages 132-146
Journal: Journal of Financial Markets - Volume 27, January 2016, Pages 132-146
نویسندگان
Hidetomo Takahashi, Peng Xu,