Short-sales and heterogeneous beliefs: Evidence from China stock market

被引：0
|
作者：
Xiong X. [1 ,2 ]
Gao Y. [1 ]
Feng X. [1 ,2 ]
机构：
[1] College of Management and Economics, Tianjin University, Tianjin
[2] China Center for Social Computing and Analytics, Tianjin
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2017年 / 37卷 / 08期
基金：
中国国家自然科学基金;
关键词：
China stock market; Heterogeneous beliefs; Short sale; Stock price adjustment;
D O I：
10.12011/1000-6788(2017)08-1937-12
中图分类号：
学科分类号：
摘要：
Miller theorizes that without short-sale constraints, security price reflects more pessimistic opinions and thus alleviates stock overvaluation. By analyzing the data of 5 main revisions of short sale list in China stock market, we find that short-sale policies bring more heterogeneous beliefs and lower stock overvaluation. Moreover, in China stock market, margin trading and short selling are introduced at the same time, it is necessary to exclude the impact of margin trading. Using trading data of these two mechanisms, we find short-sale is the main reason of these phenomena. The results of this study show that short sale has a positive effect on improving the quality of China stock market. © 2017, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：1937 / 1948
页数：11
相关论文
共 28 条
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