| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 100 === Previous studies suggest that the bid-ask spreads varies during a trading day following
a U-shaped pattern. One explanation for this observation is that it is the result of
changes in information asymmetry costs, which are caused by the informed traders
over the trading hours, assuming the other costs are fixed. Other literature report that a
short seller is able to take advantage of private information by trading shares before
negative information reaches the public. Similar arguments apply to margin
purchasers. In this study, the intraday pattern of short selling, margin trading activities
and bid-ask spreads is investigated. Our empirical results strongly affirm that the
intraday patterns of bid-ask spreads, short-sales and margin-trades exhibit a U- or a
reversed J-shaped patterns in the TWSE. In light of the adverse information
component in the spread increases with informed trades, we find that the adverse
information costs are significantly positively related to short sales and margin
purchases. The bid-ask spreads are found to be positively affected by short selling and
margin trading activities through the adverse information component in the bid-ask
spreads.
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