The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong
AbstractThis paper considers the relationship between traded volume and volatility allowing for the impact of short sales. The evidence supports a nonlinear, bidirectional relationship between volume and volatility. Short selling is found to have a significant impact on this relationship, and our results suggest (i) that the Hong Kong market displays greater volatility following a period of short selling and (ii) that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 79 (2006)
Issue (Month): 2 (March)
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Web page: http://www.journals.uchicago.edu/JB/
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- Brajesh Kumar & Priyanka Singh & Ajay Pandey, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
- Ulibarri, Carlos A., 2013. "Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 60-69.
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- Michael McKenzie & Olan T. Henry, 2007. "The Determinnts of Short Selling in the Hong Kong Equities Market," Department of Economics - Working Papers Series 1001, The University of Melbourne.
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