Short selling and intraday volatility: evidence from the Chinese marketReport as inadecuate




Short selling and intraday volatility: evidence from the Chinese market - Download this document for free, or read online. Document in PDF available to download.

SpringerPlus

, 4:797

Business andEconomics

Abstract

The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.

KeywordsShort selling Intraday volatility Relative ranking Chinese stock market  Download fulltext PDF



Author: Yongjie Zhang - Keming Liu - Dehua Shen - Wei Zhang

Source: https://link.springer.com/







Related documents