The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong

Ólan Henry and Michael McKenzie
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Michael McKenzie: RMIT University

The Journal of Business, 2006, vol. 79, issue 2, 671-692

Abstract: This paper considers the relationship between traded volume and volatility allowing for the impact of short sales. The evidence supports a nonlinear, bidirectional relationship between volume and volatility. Short selling is found to have a significant impact on this relationship, and our results suggest (i) that the Hong Kong market displays greater volatility following a period of short selling and (ii) that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling.

Date: 2006
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong (2004)
Working Paper: The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:2:p:671-692

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