Journal of Financial Markets, Volume 27, January 2016, Pages 132–146

卖空者在指数剔除时的交易活动：来自日经225指数的证据

作者：Hidetomo Takahashi (Faculty of Economics, Hosei University), Peng Xu (Institute of Comparative Economic Studies, Hosei University)

摘要：聚焦于指数剔除这一与短暂流动性冲击强烈相关的事件，我们分析卖空者在这一事件发生时的交易活动。使用日本每日卖空交易数据，我们发现卖空者的交易行为呈现出Brunnermeier和Pedersen（2005）提出的掠夺性交易特征。卖空者看起来通过在公告后立即卖空并在生效日前买回股票来获利。我们同时发现公告日前后大量卖空导致后期更高的收益反转。这些结果表明指数剔除时的卖空行为干扰了价格效率。

关键词：卖空；掠夺性交易；价格反转

Trading activities of short-sellers around index deletions: Evidence from the Nikkei 225

Hidetomo Takahashi (Faculty of Economics, Hosei University), Peng Xu (Institute of Comparative Economic Studies, Hosei University)

ABSTRACT

Focusing on index deletions, which are events strongly associated with temporal liquidity shocks, we analyze the trading activities of short sellers around these events. Using daily short selling data from Japan, we find that short sellers show trading patterns consistent with the predatory trading in Brunnermeier and Pedersen (2005). Short sellers appear to earn profits by selling short immediately after the announcement and buying back close to the effective day. We also find that intense short selling around the announcement date results in larger subsequent return reversals. The results suggest that short selling disturbs price efficiency around the index deletions.

Keywords：Short selling; Predatory trading; Price reversal

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418115000300

翻译：黄怡文