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Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets

Author

Listed:
  • Anthony Yanxiang Gu

    (Jones School of Business, State University of New York, 115D South Hall, 1 College Circle, Geneseo, NY 14454, USA)

  • Chauchen Yang

    (Department of Finance, National Taiwan University, Taiwan)

Abstract

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.

Suggested Citation

  • Anthony Yanxiang Gu & Chauchen Yang, 2007. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 469-478.
    • Handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:04:n:s021909150700115x
    DOI: 10.1142/S021909150700115X
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    Citations

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    Cited by:

    1. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
    2. Tyler R. Henry, 2019. "Security price formation and informed trading with constrained short selling," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 123-151, July.
    3. Chih-Hsiang Chang & Wen-Shan Chiang, 2014. "Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-27.

    More about this item

    Keywords

    Short selling; volatility; constraints;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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