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Short selling patterns in cross-listed stocks

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  • Li, Shan
  • Mihaylov, George
  • Peranginangin, Yessy
  • Zurbruegg, Ralf

Abstract

We examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that short selling around earnings announcements occurs primarily on the H-share market, which then leads to differences in the post-announcement drift of cross-listed stocks in the A- and H-share markets. In addition, we also show that these trades are, at least in part, driven by private signals that likely relate to firms which are more opaque and further away from a major financial exchange. Our findings have direct implications for explaining the A- and H-share pricing discrepancy by showing a potential channel through which negative news is asymmetrically impounded into H-share prices.

Suggested Citation

  • Li, Shan & Mihaylov, George & Peranginangin, Yessy & Zurbruegg, Ralf, 2021. "Short selling patterns in cross-listed stocks," Global Finance Journal, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300545
    DOI: 10.1016/j.gfj.2020.100542
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    More about this item

    Keywords

    Short selling; Trading volume; A-shares; H-shares;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance

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