Anthony Yanxiang Gu () (Jones School of Business, State University of New York, 115D South Hall, 1 College Circle, Geneseo, NY 14454, USA) Chauchen Yang () (Department of Finance, National Taiwan University, Taiwan)
Abstract
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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