Whether Short Selling Improve Price Efficiency and Liquidity in the Chinese Stock Market

Jianye Jin ()
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Jianye Jin: The High School Affiliated to the Renmin University of China

A chapter in Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023), 2024, pp 111-129 from Springer

Abstract: Abstract This paper constructed different indicators to test the effect of the margin trading reform in China’s A-share market using detailed data between 2010 to 2014. The empirical evidence showed that the underlying group’s liquidity after the reform increases relative to the non-underlying group’s. And there was no clear evidence of the improvement of market efficiency for the underlying group. In terms of volatility, the spill-over effect was significant. These findings had implications for future advancement in the stock market.

Keywords: Short-selling; Margin Trading; Liquidity; Market Efficiency; Volatility (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-441-9_12

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DOI: 10.2991/978-94-6463-441-9_12

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