Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets
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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Volume (Year): 10 (2007)
Issue (Month): 04 ()
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