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

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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)

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.

Suggested Citation

  • Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
    • Handle: RePEc:wsi:rpbfmp:v:19:y:2016:i:01:n:s0219091516500053
    DOI: 10.1142/S0219091516500053
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    References listed on IDEAS

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