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首页> 外文期刊>The North American journal of economics and finance >The effect of short-sale restrictions on the information transmission of extended index futures trading
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The effect of short-sale restrictions on the information transmission of extended index futures trading

机译：短期销售限制对扩展指数期货交易信息传播的影响

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摘要

During the global financial crisis, two types of short-sale restrictions, i.e., the uptick restriction and the naked short-sale ban, were introduced in the Taiwan Stock Exchange (TWSE). This provides an opportunity to examine whether these two types of short-sale restrictions reduce the speed at which the overnight spot returns and the trading period spot returns adjust to the bad news revealed through the index futures returns during the post-close and pre-open extensions. The results of the threshold GARCH(1,1) model show that only the short-sale ban significantly reduced the speed at which the overnight spot returns react to the bad news revealed by the futures returns of the TWSE index during the pre-open extended session
机译：在全球金融危机期间，在台湾证券交易所（TWSE）中引入了两种类型的短期销售限制，即加起来的限制和裸体的卖空禁令。这提供了一个有机会检查这两种类型的短销售限制是否降低了隔夜点回报和交易期地点返回的速度，以便在关闭和预先开放期间通过指数期货返回透露的坏消息扩展。阈值GARCH（1,1）模型的结果表明，只有短促销售禁令显着降低了隔夜点返回的速度，所以在预开放式延长期间的期货归还的期货返回所揭示的坏消息会议

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