Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets

Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.

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Year of publication:	2007
Authors:	Gu, Anthony Yanxiang ; Yang, Chauchen
Published in:	Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 10.2007, 04, p. 469-478
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Short selling \| volatility \| constraints

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G1 - General Financial Markets ; G2 - Financial Institutions and Services ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005080744