Short selling and intraday volatility: evidence from the Chinese market

被引：1
|
作者：
Zhang, Yongjie [1 ,2 ]
Liu, Keming [1 ]
Shen, Dehua [1 ,2 ]
Zhang, Wei [1 ,2 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China
[2] Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China
来源：
SPRINGERPLUS | 2015年 / 4卷
基金：
中国国家自然科学基金;
关键词：
Short selling; Intraday volatility; Relative ranking; Chinese stock market; SHORT-SALES; EFFICIENCY EVIDENCE; PRICE EFFICIENCY; RESTRICTIONS; CONSTRAINTS;
D O I：
10.1186/s40064-015-1591-5
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.
引用
收藏
页码：1 / 9
页数：9
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