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Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets

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  • C. James Hueng

Abstract

The difficulty of short-selling stocks in the Chinese markets conforms to the assumption of the 'Differences-of-Opinion' theory and therefore, provides an empirical framework for testing the theory. The results show evidence supporting the theory: heavier trading predicts a more negatively skewed return.

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  • C. James Hueng, 2006. "Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 707-716.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:707-716
    DOI: 10.1080/09603100500426697
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    Cited by:

    1. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
    2. Manoj Dalvi & Christos Giannikos & Eleni Gousgounis, 2012. "Short sale constraints: the impact on the return distribution," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 5(1), pages 94-107, November.

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