Table of Contents
Chapter 1 Introduction	1
Chapter 2 Literature Review and Hypothesis Development	9
2.1 Continuous Trading System	9
2.2 Speculative Activity and the Hedging Pressure Hypothesis	11
2.3 Investor Sentiment from a Behavioral Finance Perspective	15
2.4 Limits to Arbitrage and Short-Selling Availability	17
Chapter 3 Data and Research Design	21
3.1 Research Period and Sample Selection	21
3.2 Research Method and Variable Design	22
3.2.1 Institutional Variables	22
3.2.2 Speculative Activity	24
3.2.3 Investor Sentiment	26
3.2.4 Short-Selling Availability(Capacity and Activity)	29
Chapter 4 Results of the Empirical Analysis	32
4.1 Descriptive Statistics of Main Variables	32
4.2 Continuous Trading Reform, Speculation, and Investor Sentiment	34
4.3 Short-selling Availability	41
Chapter 5 Conclusion	47
References	49

List of Tables
Table 1 Definitions of control variables	24
Table 2 Proxies for short-selling availability(Capacity and Activity)	30
Table 3 Descriptive Statistics of Main Variables	33
Table 4 Descriptive statistics of pricing errors before and after the continuous trading reform (by firm and market characteristics)	36
Table 5 Fixed-effects regression results for absolute pricing errors (|PE|)	41
Table 6 Descriptive statistics of pricing errors before and after the continuous trading reform (by short-selling availability)	43
Table 7 Fixed-effects regression results of short-selling availability and pricing errors	46

List of Figure
Figure 1 Annual trading volume of SSFs	4
Figure 2 Proportion of trading volume by individual and foreign iinvestors	6

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