The impacts of margin purchase and short sale on stock price crash
碩士 === 長榮大學 === 經營管理研究所 === 104 === This paper investigates the impacts of margin purchase and short sale on future stock price crash risk. Using a large sample of firms listed in TWSE from 1999 to 2014, we find robust evidence that margin purchase is negatively related to the future stock price cra...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35900987526656728551 |
| Summary: | 碩士 === 長榮大學 === 經營管理研究所 === 104 === This paper investigates the impacts of margin purchase and short sale on future stock price crash risk. Using a large sample of firms listed in TWSE from 1999 to 2014, we find robust evidence that margin purchase is negatively related to the future stock price crash risk. On the contrary, short sale is positively related to stock price crash risk in the future. We also find short sale had no significant effect on the risk of stock price crash during the period of the short sale price constraints when stock price below the previous closing price. In 2005(2007), FSC announced that the components of Taiwan 50 (Mid cap 100) index can be shorted at a price below its previous closing price. The empirical results suggest that the short interest of components of Taiwan 50 index and Taiwan Mid Cap 100 also had no significant effect on the risk of stock price crash. Our evidences support the policy of short-sell price constraints is helpful to stabilize future stock price.
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