Chan, Shih-Ju; Lin, Ching-Chung; Kuo, Wen-Hsiu - In: Journal of Economics and Management 4 (2008) 2, pp. 203-228
The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of … the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … of this price restriction, no significant cumulative abnormal return has been found, while the volatilities of those …
