Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market

被引：0
|
作者：
Cheng, Ming-Chang [1 ]
Lee, Ching-Hwa [2 ]
机构：
[1] Natl Chung Cheng Univ, Chiayi 621, Taiwan
[2] Natl Chung Cheng Univ, New Taipei City Govt 2, Chiayi 621, Taiwan
来源：
REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2016年 / 19卷 / 01期
关键词：
Buy-sell imbalance; ex-dividend day; margin trader; short seller;
D O I：
10.1142/S0219091516500053
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate buy-sell imbalances (BSIs) around ex-dividend days on the Taiwan Stock Exchange (TWSE) and find that trading activities are not entirely correlated with investor tax status. We find that margin traders and short sellers engage in arbitrage by selling more stocks for those with high abnormal returns cum-and ex-dividend, respectively. Tax-neutral dealers engage in overnight trading while tax-disadvantaged foreigners refrain from selling stocks cum-dividend.
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页数：17
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