Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market

Ming-Chang Cheng and Ching-Hwa Lee
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Ming-Chang Cheng: National Chung Cheng University, Taiwan
Ching-Hwa Lee: National Chung Cheng University, 2 New Taipei City Government, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2016, vol. 19, issue 01, 1-17

Abstract: We investigate buy–sell imbalances (BSIs) around ex-dividend days on the Taiwan Stock Exchange (TWSE) and find that trading activities are not entirely correlated with investor tax status. We find that margin traders and short sellers engage in arbitrage by selling more stocks for those with high abnormal returns cum- and ex-dividend, respectively. Tax-neutral dealers engage in overnight trading while tax-disadvantaged foreigners refrain from selling stocks cum-dividend.

Keywords: Buy–sell imbalance; ex-dividend day; margin trader; short seller (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1142/S0219091516500053

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