In this study, we investigate how short-sale constraints decrease price efficiency. Using order book and transaction data, we analyze the impact of short-sale constraints on the relationship between price efficiency and investor trading. The results show that there will be a greater negative effect of short-sale constraints on price efficiency as the buy ratio for foreign institutions (individuals) is lower (higher). Our findings suggest that the lower price efficiency in stocks restricted from short selling is caused by keeping informed investors out of the market and raising the proportion of uninformed investors due to the short-sale constraints.
Keywords: Short-sale constraints; price efficiency; investor trading
JEL Classification: G10; G14; G15
학회 소식
공지사항
[2013년 제 4차] Short-sale Constraints, Price Efficiency, and Inves
작성자 : 관리자
조회수 : 898
게시일 :
2013-12-16