Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets

Anthony Yanxiang Gu and Chauchen Yang ()
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Chauchen Yang: Department of Finance, National Taiwan University, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2007, vol. 10, issue 04, 469-478

Abstract: Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.

Keywords: Short selling; volatility; constraints (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S021909150700115X

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