標題: Futures mispricing, order imbalance, and short-selling constraints
作者: Lin, Emily
Lee, Cheng-Few
Wang, Kehluh
管理科學系
資訊管理與財務金融系 註:原資管所+財金所
Department of Management Science
Department of Information Management and Finance
關鍵字: Short sales;Security lending sales;Mispricing;Arbitrage;Probability of informed trading (PIN);Order imbalance
公開日期: 1-Jan-2013
摘要: The aim of the research is to determine how the lifting of price restrictions on short sales and security-lending sales affects market efficiency, liquidity and arbitrage opportunities. The study examines trading behaviors of large and small traders separated by their transaction costs and shows the lifting of price restrictions strengthens the correlation between extreme order imbalance and extreme mispricing. Also, autocorrelations of the underpricing and overpricing persist longer, in particular for big traders, and so do those of buy-side and sell-side order imbalances. However, the outcomes for the post-lifting market efficiency are mixed. This paper provides evidence that lifting price restrictions enhances informed trading and the lead-lag relationship between mispricing and order imbalance in the cash and futures markets. (C) 2012 Elsevier Inc. All rights reserved.
URI: http://dx.doi.org/10.1016/j.iref.2012.08.001
http://hdl.handle.net/11536/20721
ISSN: 1059-0560
DOI: 10.1016/j.iref.2012.08.001
期刊: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume: 25
Issue: 
起始頁: 408
結束頁: 423
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