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dc.contributor.authorLin, Emilyen_US
dc.contributor.authorLee, Cheng-Fewen_US
dc.contributor.authorWang, Kehluhen_US
dc.date.accessioned2014-12-08T15:28:39Z-
dc.date.available2014-12-08T15:28:39Z-
dc.date.issued2013-01-01en_US
dc.identifier.issn1059-0560en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.iref.2012.08.001en_US
dc.identifier.urihttp://hdl.handle.net/11536/20721-
dc.description.abstractThe 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.en_US
dc.language.isoen_USen_US
dc.subjectShort salesen_US
dc.subjectSecurity lending salesen_US
dc.subjectMispricingen_US
dc.subjectArbitrageen_US
dc.subjectProbability of informed trading (PIN)en_US
dc.subjectOrder imbalanceen_US
dc.titleFutures mispricing, order imbalance, and short-selling constraintsen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.iref.2012.08.001en_US
dc.identifier.journalINTERNATIONAL REVIEW OF ECONOMICS & FINANCEen_US
dc.citation.volume25en_US
dc.citation.issueen_US
dc.citation.spage408en_US
dc.citation.epage423en_US
dc.contributor.department管理科學系zh_TW
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Management Scienceen_US
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000310944800030-
dc.citation.woscount2-
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