臺灣博碩士論文加值系統

新興市場有較多的政治風險、總體經濟環境不確定性，以及缺少對投資人的保護，因此新興市場較與全球市場有明顯區隔，特別是放空限制與其他制度面的因子，是阻礙股票價格效率的原因。這篇文章檢視新興市場股票價格效率，特別聚焦在放空限制與市場區隔程度的影響，實證結果顯示放空限制的確會損害新興市場的價格效率，然而，當考慮公司個別因子時，發現到市場區隔與價格效率只存在微弱的關係。

Emerging markets suffer from greater political risk, macroeconomic instability and poor investor protection, and therefore become more segmented from global markets. In particular, short sale constraints, among other institutional factors, are important impediments to price efficiency of common stocks. This study examines stock price efficiency across emerging markets, with particular emphasis on the impact from short sale constraints and the degree of market segmentation. Empirical evidence across emerging markets show that short sale constraints indeed impair price efficiency of emerging stock markets. Results however only find weak relation between market segmentation and price efficiency when firm-level factors are considered.

1.Introduction......................................1
2.Literature review and Hypothesis Development......2
2.1 Emerging markets................................2
2.2 Prior findings on market segmentation and integration ....................................................3
2.3 Price efficiency................................5
2.3.1 Synchronicities...............................6
2.3.2 Price delay...................................6
2.4 Short-sale constraints..........................7
3.Data and Methodology.........................................10
3.1 Data............................................10
3.1.1 Sample selection..................................11
3.1.2 Accounting data...................................12
3.2 Methodology.........................................12
3.2.1 Measure of Market Segmentation....................12
3.2.2 Measure of Price Delay............................13
3.2.3 The Relationship Between Price Delay and Firm Characteristics.........................................15
3.2.4 Aggregated Analysis of Price Delay and Short Sale Constraint across Emerging Markets......................16
3.2.5 Aggregated Analysis of Price Delay, Short Sale Constraint and Market Segmentation across Emerging Markets ........................................................17
3.2.6 Within-Market Analysis of Price Delay and Short Sale Constraint-Option.......................................18
3.2.7 Variable Definitions..............................19
4. Preliminary Data Analysis............................20
4.1 Short Sale Restrictions.............................20
4.2 Summary Statistics across Emerging Markets..........20
4.3 Segmentation by ICB Industry........................21
4.4 Summary Statistics for Segmentation across Emerging Markets.................................................22
4.5 Summary Statistics for Daily Price Delay across Emerging Markets........................................22
4.6 Summary Statistics for Weekly Price Delay across Emerging Markets........................................23
5. Empirical Results...................................25
5.1 Regression Analysis of Price Delay across Emerging Markets.................................................25
5.2 Aggregated Analysis of Price Delay and Short Sale Constraints across Emerging Markets.....................26
5.3 Aggregated Analysis of Price Delay, Short Sale Constraints and Market Segmentation across Emerging Markets ........................................................27
5.4 Analysis of Price Delay and Short Sale Constraints for Individual Stocks.......................................28
6. Conclusion..........................................29
7. References..........................................30

Table I Variable Definitions............................33
Table II Short Selling Restrictions Among Emerging Markets ........................................................36
Table III Summary Statistics for Country-level Over the sample period 1990-2016.................................39
Table IV Segmentation measure by ICB industry classification..........................................41
Table V Summary Statistics for annual segmentation measure
over the period 1990-2016...............................44
Table VI Summary Statistics for the countries daily delay ........................................................46
Table VII Summary Statistics for the countries weekly delay...................................................48
Table VIII Regression Analysis of Price Delay for across emerging markets........................................50
Table IX Aggregated Analysis of Price Delay and Short Sale Constraints across Emerging Markets.....................53
Table XI Aggregated Analysis of Price Delay, Short Sale Constraints and Market Segmentation across Emerging Markets.................................................57
Table XII Regression Analysis of Price Delay and Availability of Traded Stock Options....................58
Appendix I..............................................59
Table A1 MSCI Emerging Market Country Lists as of 2018/06/20..............................................59

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