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The Determinnts of Short Selling in the Hong Kong Equities Market

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  • Michael McKenzie
  • Olan T. Henry

Abstract

This paper investigates the determinants and information content of short selling in the Hong Kong equity market. Using daily data on the volume of short selling in individual stocks, we find that dividend payments, company fundamentals, risk, option trading, the interest rate spread and past returns and short selling are all significant determinants of short selling. Further, higher short selling in the current period is associated with higher returns in the next period. Once short sellers reduce their activity in the market however, negative returns are expected to follow.

Suggested Citation

  • 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.
    • Handle: RePEc:mlb:wpaper:1001
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    File URL: http://fbe.unimelb.edu.au/__data/assets/pdf_file/0007/802798/1001.pdf
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    References listed on IDEAS

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    Cited by:

    1. Daniel Dupuis & Lawrence Kryzanowski, "undated". "Governance and Short Sales," Finance Working Papers 03-04/2015, School of Business Administration, American University of Sharjah.

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    More about this item

    Keywords

    Short Selling; Equity Market Efficiency;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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