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SpringerPlus

, 4:797

Business andEconomics

Abstract

The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.

KeywordsShort selling Intraday volatility Relative ranking Chinese stock market  Download fulltext PDF



Autor: Yongjie Zhang - Keming Liu - Dehua Shen - Wei Zhang

Fuente: https://link.springer.com/



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