The Impacts of Opening Margin Trading on Stock Return, Volatility and Turnover Rate in Taiwan

Dar-Hsin Chen, Chun-Da Chen and Chih-Min Lai
Additional contact information
Dar-Hsin Chen: Department of Business Administration, National Taipei University, Taiwan
Chun-Da Chen: Department of Finance, Da-Yeh University, Taiwana and Tennessee State University, U.S.A.
Chih-Min Lai: Department of Banking and Finance, Tamkang University, Taiwan

Journal of Economics and Management, 2007, vol. 3, issue 1, 97-124

Abstract: This paper studies the impact of first opening margin trading on stock return, return volatility, and turnover rates via an event study. The results indicate that there is no relationship between changes in stock return volatility and industry sectors after opening margin trading. The different firm sizes make the TSE and OTC non-electric sector's stock return volatility has significant variation earlier than electric sector's when we prolong the investigate period. For turnover rate, opening margin trading can increase the TSE's turnover rate significantly. The result also shows that considering both sectors and firm sizes, they still have different turnover rates in the mid- and long-term. In addition, opening margin trading does have information content on the stock returns. During the event window, the electric sectors of both TSE and OTC have higher stock returns. All sectors except the OTC's non-electric sector have positive impacts by opening margin trading. It follows from what has been said that the TSE's electric sector is a better investment target during our sample period and its CAAR increases more in the bull market than in the bear market.

Keywords: margin trading; abnormal return; volatility; turnover rate (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jem.org.tw/content/pdf/Vol.3No.1/05.pdf (application/pdf)
http://www.jem.org.tw/content/abstract/Vol.3No.1/English/05.htm (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jec:journl:v:3:y:2007:i:1:p:97-124

Access Statistics for this article

Journal of Economics and Management is currently edited by Cathy W. S. Chen and Shih-Wen Hu

More articles in Journal of Economics and Management from College of Business, Feng Chia University, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Yi-Ju Su ().