The Determinnts of Short Selling in the Hong Kong Equities Market

Michael McKenzie and Ólan Henry

No 1001, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper investigates the determinants and information content of short selling in the Hong Kong equity market. Using daily data on the volume of short selling in individual stocks, we find that dividend payments, company fundamentals, risk, option trading, the interest rate spread and past returns and short selling are all significant determinants of short selling. Further, higher short selling in the current period is associated with higher returns in the next period. Once short sellers reduce their activity in the market however, negative returns are expected to follow.

Keywords: Short Selling; Equity Market Efficiency (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2007
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (1)

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