Reduction of Constraints on Arbitrage Trading and Market Efficiency : An Examination of Ex-Day Returns in Hong Kong After Introduction of Electronic Settlement

@inproceedings{Kadapakkam1999ReductionOC,
  title={Reduction of Constraints on Arbitrage Trading and Market Efficiency : An Examination of Ex-Day Returns in Hong Kong After Introduction of Electronic Settlement},
  author={Palani-Rajan Kadapakkam},
  year={1999}
}
  • Palani-Rajan Kadapakkam
  • Published 1999
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 for high yield stocks… CONTINUE READING