Shorting flows and return predictability in Taiwan
Shorting flows and return predictability in Taiwan
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DOI：
10.1016/j.pacfin.2022.101816
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发表时间：
2022-07
影响因子：
4.6
通讯作者：
Chaonan Lin;Hsiao-Wei Ho;Kuan‐Cheng Ko
中科院分区：
文献类型：
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作者：
Chaonan Lin;Hsiao-Wei Ho;Kuan‐Cheng Ko
Wang et al.（2020）表明，短期和长期做空流动是2010-2015年美国市场未来股票回报的强有力预测因素。他们的研究结果与知情卖空假设一致，即卖空者根据逐渐融入股价的长期信息进行交易。这项研究扩展了Wang et al.’s（2020）对台湾股市的分析，提出了一个理想的设置，以测试知情卖空假说的实施的最高报价规则和价格限制。我们发现，短期和长期的卖空流量有很强的预测能力，在台湾的未来股票收益率，这表明卖空者的交易确实包含了显着的增量信息的限制下的上涨最高报价规则和价格限制的未来股票收益率。
Wang et al. (2020) show that short- and long-term shorting flows are strong predictors of future stock returns in the U.S. markets during 2010–2015. Their results are in line with the informed shorting hypothesis that short sellers trade on long-term information that is gradually incorporated into stock prices. This study extends Wang et al.'s (2020) analyses to the Taiwan stock market by proposing that the impositions of the up-tick rule and price limits provide an ideal setting to test the informed shorting hypothesis. We show that short- and long-term shorting flows have strong predictive power for future stock returns in Taiwan, suggesting that short sellers' trading does contain significant incremental information about future stock returns under the restrictions of the up-tick rule and price limits.