The determinants of short selling in the Hong Kongequities market
AuthorMcKenzie, Michael; Henry, Ólan T.
AffiliationEconomics and Commerce: Department of Economics
CitationsMcKenzie, Michael and Henry, Ólan T. (2007) The determinants of short selling in the Hong Kongequities market.
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This paper investigates the determinants and information content of short selling in the Hong Kong equity market. Using daily data on the volume of short selling in individual stocks, we find that dividend payments, company fundamentals, risk, option trading, the interest rate spread and past returns and short selling are all significant determinants of short selling. Further, higher short selling in the current period is associated with higher returns in the next period. Once short sellers reduce their activity in the market however, negative returns are expected to follow.
KeywordsShort selling; equity market efficiency
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