Short-sale constraints and stock price informativeness

Ali Ebrahimnejad and Saeid Hoseinzade

Global Finance Journal, 2019, vol. 40, issue C, 28-34

Abstract: Morck, Yeung, and Yu (2000), in their pioneering study of international differences in stock price synchronicity, emphasize the effect of market development on investors' ability to incorporate firm-specific information into prices. We use a unique institutional feature in the Hong Kong market to investigate one of the important tools investors use to do this and hence reduce stock price synchronicity: short selling. Examining the cross-sectional and time-series variation in short-sale constraints in the Hong Kong market, we find that after the removal of short-sale constraints, stock prices become more informative and move less in tandem with the market.

Keywords: Comovement; Short selling; Stock price informativeness (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:40:y:2019:i:c:p:28-34

DOI: 10.1016/j.gfj.2018.11.002

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