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Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market

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Cited by:

  1. Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom, 2016. "Assessing the information content of short-selling metrics using daily disclosures," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 188-204.
  2. Kelvin J. L. Koa & Yunshan Ma & Ritchie Ng & Tat-Seng Chua, 2023. "Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction," Papers 2309.00073, arXiv.org, revised Oct 2023.
  3. Yin, Libo & Liao, Huiyi, 2020. "Firm’s quality increases and the cross-section of stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 228-243.
  4. Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2018. "Stock market liquidity and trading activity: Is China different?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 32-51.
  5. Larry Su & Elmina Homapour & Francisco Chiclana, 2022. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets," Mathematics, MDPI, vol. 10(17), pages 1-21, September.
  6. Ye, Qing & Zhou, Shengjie & Zhang, Jie, 2020. "Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
  7. Liu, Chunbo & Niu, Zilong, 2023. "Leverage made at home: Investors' margin loan usage and firm leverage," Emerging Markets Review, Elsevier, vol. 55(C).
  8. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao, 2023. "Short selling, divergence of opinion and volatility in the corporate bond market," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  9. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
  10. Xiaoxu Ling & Siyuan Yan & Louis T. W. Cheng, 2022. "Investor relations under short‐selling pressure: Evidence from strategic signaling by company site visits," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1145-1174, July.
  11. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
  12. Zhou, Shengjie & Ye, Qing, 2023. "Margin trading and spillover effects: Evidence from the Chinese stock markets," Emerging Markets Review, Elsevier, vol. 54(C).
  13. Jiang, Haiyan & Jia, Jing, 2021. "Short selling and future cash flow predictability of capital investment: Evidence from Australia," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(1).
  14. Dagmar Linnertová, 2017. "How Did Short Sale Ban Affect German Capital Market Risk?," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 2017-2024.
  15. Bohl, Martin T. & Reher, Gerrit & Wilfling, Bernd, 2016. "Short selling constraints and stock returns volatility: Empirical evidence from the German stock market," Economic Modelling, Elsevier, vol. 58(C), pages 159-166.
  16. Gao, Li & He, Wei & Wang, Qian, 2019. "In search of distress risk in China's stock market," Global Finance Journal, Elsevier, vol. 42(C).
  17. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
  18. Yang, Jiefei & Xue, Yi & Liu, Yitong, 2023. "Short selling, managerial alignment and corporate misconduct," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  19. Huang, Ying Sophie & Yao, Juan & Zhu, Yu, 2018. "Thriving in a disrupted market: a study of Chinese hedge fund performance," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 210-223.
  20. Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020. "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 673-702, July.
  21. Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
  22. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
  23. Ge-zhi Wu & Da-ming You, 2021. "Margin trading, short selling and corporate green innovation," Papers 2107.11255, arXiv.org, revised Aug 2021.
  24. Junjun Ma & Xindan Li & Lei Lu & Weixing Wu & Xiong Xiong, 2022. "Individual investors' dispersion in beliefs and stock returns," Financial Management, Financial Management Association International, vol. 51(3), pages 929-953, September.
  25. Yin, Libo & Yang, Zhichen, 2022. "The profitability effect: Insight from a dynamic perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
  26. Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
  27. Kwaku Boafo Baidoo, 2019. "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 5(2), pages 218-228.
  28. Chi Dong & Hooi Hooi Lean & Zamri Ahmad, 2017. "Intra-industry information diffusion in China's stock market," Economics Bulletin, AccessEcon, vol. 37(1), pages 1-11.
  29. Lv, Dayong & Wu, Wenfeng, 2019. "Margin-trading volatility and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 179-196.
  30. Shyu, Yih-Wen & Chan, Kam C. & Liang, Hsin-Yu, 2018. "Spillovers of price efficiency and informed trading from short sales to margin purchases in absence of uptick rule," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 163-183.
  31. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
  32. Lee, Bong-Soo & Ko, Kwangsoo, 2016. "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 47-53.
  33. Li, Hao & Li, Zhisheng & Lin, Bingxuan & Xu, Xiaowei, 2019. "The effect of short sale constraints on analyst forecast quality: Evidence from a natural experiment in China," Economic Modelling, Elsevier, vol. 81(C), pages 338-347.
  34. Wang, Shuxun & Zhang, Dongyang, 2020. "Short-selling restrictions and firms’ environment responsibility," Research in International Business and Finance, Elsevier, vol. 54(C).
  35. Liu, Xufeng & Wan, Die, 2022. "Asymmetric positive feedback trading and stock pricing in China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  36. Chen, Shenglan & Chou, Robin K. & Liu, Xiaoling & Wu, Yuhui, 2020. "Deregulation of short-selling constraints and cost of bank loans: Evidence from a quasi-natural experiment," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  37. Lili Li & Shan Leng & Jun Yang & Mei Yu, 2016. "Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression," Mathematical Problems in Engineering, Hindawi, vol. 2016, pages 1-15, September.
  38. Jiang, Jiaoliang, 2022. "Short selling and corporate diversification in emerging markets: Insights from controlling shareholder tunneling," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  39. Dasilas, Apostolos, 2022. "The impact of margin trading and short selling on the investment-to-price sensitivity. Evidence from China," International Review of Financial Analysis, Elsevier, vol. 84(C).
  40. Chen, Shenglan & Lin, Bingxuan & Lu, Rui & Ma, Hui, 2018. "The disciplinary effects of short sales on controlling shareholders," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 56-76.
  41. Tsai, Chia-Fen & Chang, Jung-Hsien & Tsai, Feng-Tse, 2021. "Lottery preferences and retail short selling," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  42. Hu, Conghui & Liu, Yu-Jane & Zhu, Ning, 2019. "De-Leverage and illiquidity contagion," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 1-18.
  43. Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
  44. Hao Gao & Yuanyu Qu & Tao Shen, 2022. "Geographic proximity and price efficiency: Evidence from high‐speed railway connections between firms and financial centers," Financial Management, Financial Management Association International, vol. 51(1), pages 117-141, March.
  45. Jiang, Fuxiu & Jiang, Zhan & Kim, Kenneth A., 2020. "Capital markets, financial institutions, and corporate finance in China," Journal of Corporate Finance, Elsevier, vol. 63(C).
  46. Chi Dong & Hooi Hooi Lean & Zamri Ahmad & Wing-Keung Wong, 2019. "The Impact of Market Condition and Policy Change on the Sustainability of Intra-Industry Information Diffusion in China," Sustainability, MDPI, vol. 11(4), pages 1-20, February.
  47. Haiyan Jiang & Ahsan Habib & Mostafa Monzur Hasan, 2022. "Short Selling: A Review of the Literature and Implications for Future Research," European Accounting Review, Taylor & Francis Journals, vol. 31(1), pages 1-31, January.
  48. Li, Shan & Mihaylov, George & Peranginangin, Yessy & Zurbruegg, Ralf, 2021. "Short selling patterns in cross-listed stocks," Global Finance Journal, Elsevier, vol. 48(C).
  49. Mazza, Paolo & Wang, Shiyu, 2021. "Corporate legal insider trading in China: Performance and determinants," International Review of Law and Economics, Elsevier, vol. 68(C).
  50. Liu, Jia & Fu, Pengju & Lin, Chunyan, 2023. "Rule improvements and irrational characteristics of herd behaviour–The effects of SMT policy," Finance Research Letters, Elsevier, vol. 56(C).
  51. Liu, Xin & Qiu, Zhigang & Shen, Luyao & Zheng, Weinan, 2023. "Coreversal: The booms and busts of arbitrage activities in China," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 51-65.
  52. Hui Ding & Xiaoran Ni & Hongmei Xu, 2021. "Short selling and labor investment efficiency: evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2451-2476, April.
  53. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
  54. Hong, Jiawei & Yu, Xiaojian & Xiao, Weilin & Zhang, Xili, 2022. "The dispersion of beta estimates and the investors’ heterogeneous Beliefs：Evidence from the stock market in China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 540-550.
  55. Meng, Qingbin & Li, Xinyu & Chan, Kam C. & Gao, Shenghao, 2020. "Does short selling affect a firm's financial constraints?," Journal of Corporate Finance, Elsevier, vol. 60(C).
  56. Yue, Tian & Zhang, Jin E. & Tan, Eric K.M., 2020. "The Chinese equity index options market," Emerging Markets Review, Elsevier, vol. 45(C).
  57. Luo, Yan & Ren, Jinjuan & Wang, Yizhi, 2015. "Misvaluation comovement, market efficiency and the cross-section of stock returns: Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 390-412.
  58. Deng, Xiaohu & Gao, Lei, 2018. "The monitoring of short selling: Evidence from China," Research in International Business and Finance, Elsevier, vol. 43(C), pages 68-78.
  59. He, Jingbin & Ma, Xinru & Wei, Qu, 2022. "Firm-level short selling and the local COVID-19 pandemic: Evidence from China," Economic Modelling, Elsevier, vol. 113(C).
  60. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  61. Ma, Junjun & Xiong, Xiong & Feng, Xu, 2021. "News release and the role of different types of investors," International Review of Financial Analysis, Elsevier, vol. 73(C).
  62. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
  63. Lin, Yongjia & Wang, Yizhi & Fu, Xiaoqing (Maggie), 2022. "Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak," Finance Research Letters, Elsevier, vol. 46(PA).
  64. Chen, Jun & Kadapakkam, Palani-Rajan & Yang, Ting, 2016. "Short selling, margin trading, and the incorporation of new information into prices," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 1-17.
  65. Lee, Soonhee, 2017. "Does short sale restriction lower price efficiency when substitutes exist? Evidence from the Korean market," Economics Letters, Elsevier, vol. 158(C), pages 77-79.
  66. Wang, Zhuo & Wang, Ziyue & Wu, Ke, 2023. "The role of anchoring on investors’ gambling preference: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  67. Srivastava, Pranjal & Jacob, Joshy, 2022. "Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment," IIMA Working Papers WP 2022-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  68. Mei‐Chen Lin, 2018. "The effect of 52 week highs and lows on analyst stock recommendations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 375-422, November.
  69. Hu, Ting & Chi, Yanzhe, 2019. "Can short selling activity predict the future returns of non-shortable peer firms?," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 165-185.
  70. Baklaci, Hasan F. & Suer, Omur & Yelkenci, Tezer, 2016. "A closer insight into the causality between short selling trades and volatility," Finance Research Letters, Elsevier, vol. 17(C), pages 48-54.
  71. Feng, Xunan & Chan, Kam C., 2016. "Information advantage, short sales, and stock returns: Evidence from short selling reform in China," Economic Modelling, Elsevier, vol. 59(C), pages 131-142.
  72. Yin, Libo & Wei, Ya & Han, Liyan, 2020. "Firms' profit instability and the cross-section of stock returns: Evidence from China," Research in International Business and Finance, Elsevier, vol. 53(C).
  73. Strych, Jan-Oliver, 2022. "The impact of margin trading and short selling by retail investors on market price efficiency: Empirical evidence from bitcoin exchanges," Finance Research Letters, Elsevier, vol. 47(PB).
  74. Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
  75. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
  76. Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022. "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 34-52, February.
  77. Liang Wu & Lei Zhang & Zhiming Fu, 2015. "Deleveraging, short sale constraints and market crash," Papers 1511.03777, arXiv.org.
  78. Sam, Abdoul G. & Zhang, Xiaodong, 2020. "Value relevance of the new environmental enforcement regime in China," Journal of Corporate Finance, Elsevier, vol. 62(C).
  79. Luo, Jinbo & Ni, Xiaoran & Tian, Gary Gang, 2020. "Short selling and corporate tax avoidance: Insights from a financial constraint view," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
  80. Xiong Xiong & Ya Gao & Xu Feng, 2017. "Successive short‐selling ban lifts and gradual price efficiency: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1557-1604, December.
  81. Chen, Haiqiang & Gu, Ming & Ni, Bo, 2023. "How price limit affects the market efficiency in a short-sale constrained market? Evidence from a quasi-natural experiment," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 22-39.
  82. Yao, Jing & Zheng, Zexin, 2021. "Costly arbitrage and skewness pricing: Evidence from first-day price limit reform in China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  83. Rui Li & Nan Li & Jiahui Li & Chongfeng Wu, 2018. "Short selling, margin buying and stock return in China market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(2), pages 477-501, June.
  84. Ladley, Daniel & Liu, Guanqing & Rockey, James, 2020. "Losing money on the margin," Journal of Economic Behavior & Organization, Elsevier, vol. 172(C), pages 107-136.
  85. Ning Hu & Siqi Lu & Tao Ma & Jianfang Ye, 2020. "Short‐selling and cost of equity: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3681-3707, December.
  86. Ali, Heba, 2019. "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, vol. 39(C), pages 154-174.
  87. Cheng, Feiyang & Wang, Chunfeng & Chiao, Chaoshin & Yao, Shouyu & Fang, Zhenming, 2021. "Retail attention, retail trades, and stock price crash risk," Emerging Markets Review, Elsevier, vol. 49(C).
  88. Ni, Xiaoran & Yin, Sirui, 2020. "The unintended real effects of short selling in an emerging market," Journal of Corporate Finance, Elsevier, vol. 64(C).
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