Economics at your fingertips  

Short selling patterns in cross-listed stocks

Shan Li, George Mihaylov, Yessy Peranginangin and Ralf Zurbruegg

Global Finance Journal, 2021, vol. 48, issue C

Abstract: We examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that short selling around earnings announcements occurs primarily on the H-share market, which then leads to differences in the post-announcement drift of cross-listed stocks in the A- and H-share markets. In addition, we also show that these trades are, at least in part, driven by private signals that likely relate to firms which are more opaque and further away from a major financial exchange. Our findings have direct implications for explaining the A- and H-share pricing discrepancy by showing a potential channel through which negative news is asymmetrically impounded into H-share prices.

Keywords: Short selling; Trading volume; A-shares; H-shares (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G34 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.gfj.2020.100542

Access Statistics for this article

Global Finance Journal is currently edited by Manuchehr Shahrokhi

More articles in Global Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2023-03-26
Handle: RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300545