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Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets

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  • C. James Hueng

Abstract

The difficulty of short-selling stocks in the Chinese markets conforms to the assumption of the 'Differences-of-Opinion' theory and therefore, provides an empirical framework for testing the theory. The results show evidence supporting the theory: heavier trading predicts a more negatively skewed return.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426697
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 10 ()
Pages: 707-716

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Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:707-716

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  1. McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
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  6. Richard Harris & C. Coskun Kucukozmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 195-202.
  7. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  8. H. R. Seddighi & W. Nian, 2004. "The Chinese stock exchange market: operations and efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 14(11), pages 785-797.
  9. Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
  10. Pierluigi Bologna & Laura Cavallo, 2002. "Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH," Applied Financial Economics, Taylor & Francis Journals, vol. 12(3), pages 183-192.
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Cited by:
  1. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.

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