Short-term traders and liquidity: a test using Bombay Stock Exchange data

• 成果类型: Article
• 署名作者: Berkman, H; Eleswarapu, VR
• 署名单位: University of Auckland
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00048-2
• 发表日期: 1998
• 页码: 339-355
• 关键词: short-term traders; noise traders; liquidity; asset pricing

摘要

The abolition and reinstatement of the forward trading facility (Badla) on the Bombay Stock Exchange is used to study the effect of short-term traders on share prices and liquidity, The reactions of stock prices to the ban reveal an average negative abnormal return of 15% on Badla stocks as compared to the non-Badla stocks. The ensuing period shows a significant decline in the liquidity of the Badla Stocks related to the announcement period CARs. Our results suggest that the market perceives short-term traders as playing a significant positive role, with a larger benefit accruing to the relatively less-liquid stocks. (C) 1998 Elsevier Science S.A. All rights reserved.