Reduction of Constraints on Arbitrage Trading And Market Efficiency : An Examination of Ex - Day Returns in Hong Kong After Introduction of Electronic Settlement  

Oleh:

Kadapakkam, Palani-Rajan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 6 (2000), page 2841-2862.
Topik: reduction; arbitrage; studies; electronic trading systems; ex dividend; rates of return; stock prices
Fulltext: p 2841.pdf (103.61KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Previous research documents positive ex - dividend day retuns in excess of one percent in the unique instituional setting of hong king, where neither dividends nor capital gains are taxed. Short - term arbtirage trades around the ex - day were hampered by physical settlement procedures. After the recent switch to an electronic settlement system, which enables such trades, ex - day abnormal returns have declined to an insignificant 0,17 percent. This drop is more pronounced for high - yield stocks, which are more likely to attract dividend capture trading. The evidence points to the crucial role of short - term traders in ensuring the pricing efficiency of financial markets.

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