Reduction of constraints on arbitrage trading and market efficiency: An examination of ex-day returns in Hong Kong after introduction of electronic settlement

• 成果类型: Article
• 署名作者: Kadapakkam, PR
• 署名单位: University of Texas System; University of Texas at San Antonio
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00309
• 发表日期: 2000
• 页码: 2841-2861
• 关键词: DIVIDEND-DAY BEHAVIOR; STOCK-PRICE BEHAVIOR; tax; REEXAMINATION; exchange

摘要

Previous research documents positive ex-dividend day returns in excess of one percent in the unique institutional setting of Hong Kong, where neither dividends nor capital gains are taxed. Short-term arbitrage 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 fbr 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.