This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Determinnts of Short Selling in the Hong Kong Equities Market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Michael McKenzie
Olan T. Henry

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.economics.unimelb.edu.au/SITE/research/workingpapers/wp07/1001.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 1001.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 42 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:mlb:wpaper:1001

Contact details of provider:
Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia
Phone: +61 3 8344 5289
Fax: +61 3 8344 6899
Email:
Web page: http://www.economics.unimelb.edu.au
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Colemann Leong).

Related research
Keywords: Short Selling Equity Market Efficiency

Other versions of this item:

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Michael J. Aitken & Alex Frino & Michael S. McCorry & Peter L. Swan, 1998. "Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange," Journal of Finance, American Finance Association, vol. 53(6), pages 2205-2223, December. [Downloadable!] (restricted)
  2. Raab, Martin & Schwager, Robert, 1993. " Spanning with Short-Selling Restrictions," Journal of Finance, American Finance Association, vol. 48(2), pages 791-93, June. [Downloadable!] (restricted)
  3. Almazan, Andres & Brown, Keith C. & Carlson, Murray & Chapman, David A., 2004. "Why constrain your mutual fund manager?," Journal of Financial Economics, Elsevier, vol. 73(2), pages 289-321, August. [Downloadable!] (restricted)
  4. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility1," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November. [Downloadable!] (restricted)
  5. Ho, Kim Wai, 1996. "Short-sales restrictions and volatility The case of the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 377-391, December. [Downloadable!] (restricted)
  6. Ólan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March. [Downloadable!]
  7. McDonald, John G & Baron, Donald C, 1973. "Risk and Return on Short Positions in Common Stocks," Journal of Finance, American Finance Association, vol. 28(1), pages 97-107, March. [Downloadable!] (restricted)
  8. Owen A. Lamont & Jeremy C. Stein, 2004. "Aggregate Short Interest and Market Valuations," American Economic Review, American Economic Association, vol. 94(2), pages 29-32, May. [Downloadable!] (restricted)
  9. Cohen, Lauren & Diether, Karl B. & Malloy, Christopher J., 2005. "Supply and Demand Shifts in the Shorting Market," Working Paper Series 2005-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  10. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  11. Olan T. Henry & Michael McKenzie, 2003. "The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong," Department of Economics - Working Papers Series 869, The University of Melbourne. [Downloadable!]
    Other versions:
  12. Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August. [Downloadable!] (restricted)
  13. Owen A. Lamont & Jeremy C. Stein, 2004. "Aggregate Short Interest and Market Valuations," NBER Working Papers 10218, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. D'Avolio, Gene, 2002. "The market for borrowing stock," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 271-306. [Downloadable!] (restricted)
  15. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, vol. 18(2), pages 277-311, June. [Downloadable!] (restricted)
  16. Dechow, Patricia M. & Hutton, Amy P. & Meulbroek, Lisa & Sloan, Richard G., 2001. "Short-sellers, fundamental analysis, and stock returns," Journal of Financial Economics, Elsevier, vol. 61(1), pages 77-106, July. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2008-9-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.