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Conference Paper: Short-selling, margin-trading and price efficiency: evidence from the Chinese market

TitleShort-selling, margin-trading and price efficiency: evidence from the Chinese market
Authors
KeywordsShort selling
Margin trading
Effciency
Stabilization
Issue Date2013
Citation
The 2013 China International Conference in Finance, Shanghai, China, 10-13 July 2013. How to Cite?
2013年中国金融国际年会, 中国, 上海, 2013年7月10日至13日. How to Cite?
AbstractChina launched a pilot scheme in March 2010 to lift the bans on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the bans are lifted, price efficiency increases while stock return volatility decreases. Using panel data, we find higher price efficiency to be associated with intensified short-selling activities. Short-sellers trade to eliminate overpricing by selling stocks with positive contemporaneous returns following a downward trend, while margin-traders tend to buy stocks with negative contemporaneous returns and/or with strong sell-order imbalance. We further show that short-sellers do possess return predictive power, while margin traders do no have such an ability.
DescriptionSession - Chinese Financial Markets
The Conference program's website is located at http://www.ccfr.org.cn/cicf2013/enrc.php
Persistent Identifierhttp://hdl.handle.net/10722/191802

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorLuo, Yen_US
dc.contributor.authorRen, Jen_US
dc.date.accessioned2013-10-15T07:25:52Z-
dc.date.available2013-10-15T07:25:52Z-
dc.date.issued2013en_US
dc.identifier.citationThe 2013 China International Conference in Finance, Shanghai, China, 10-13 July 2013.en_US
dc.identifier.citation2013年中国金融国际年会, 中国, 上海, 2013年7月10日至13日.-
dc.identifier.urihttp://hdl.handle.net/10722/191802-
dc.descriptionSession - Chinese Financial Markets-
dc.descriptionThe Conference program's website is located at http://www.ccfr.org.cn/cicf2013/enrc.php-
dc.description.abstractChina launched a pilot scheme in March 2010 to lift the bans on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the bans are lifted, price efficiency increases while stock return volatility decreases. Using panel data, we find higher price efficiency to be associated with intensified short-selling activities. Short-sellers trade to eliminate overpricing by selling stocks with positive contemporaneous returns following a downward trend, while margin-traders tend to buy stocks with negative contemporaneous returns and/or with strong sell-order imbalance. We further show that short-sellers do possess return predictive power, while margin traders do no have such an ability.-
dc.languageengen_US
dc.relation.ispartofChina International Conference in Finance 2013en_US
dc.relation.ispartof2013年中国金融国际年会-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectShort selling-
dc.subjectMargin trading-
dc.subjectEffciency-
dc.subjectStabilization-
dc.titleShort-selling, margin-trading and price efficiency: evidence from the Chinese marketen_US
dc.typeConference_Paperen_US
dc.identifier.emailChang, EC: ecchang@business.hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturepostprint-
dc.identifier.hkuros225302en_US
dc.customcontrol.immutablesml 131119-

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