Do short selling and margin buying stabilize the market? Evidence from China

Rui Li and Jinjian Yuan

Applied Economics Letters, 2020, vol. 27, issue 16, 1340-1346

Abstract: By directly checking the correlation between short-selling (margin-buying) activities, we find that short sellers and margin buyers are beneficial for market stabilization in China, and such effects do not attenuate during the crazy bull-market. Furthermore, by quantile regression analysis, we show that such stabilizing effects are more significant in higher quantiles.

Date: 2020
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DOI: 10.1080/13504851.2019.1679340

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