The Determinants of Short Selling: Evidence from the Hong Kong Equity Market
Michael D. McKenzie
University of Sydney - Discipline of Finance; University of Cambridge - Cambridge Endowment for Research in Finance (CERF); Financial Research Network (FIRN)
Olan T. Henry
University of Melbourne - Department of Economics
Accounting & Finance, Vol. 52, pp. 183-216, 2012
While most financial regulators agree that short sellers have an important role to play in ensuring an efficiently functioning market, it is interesting to note that many did not hesitate to ban short selling during the recent financial crisis. This apparent contradiction most likely stems from a lack of understanding about what motivates short trading. In this paper, we focus on the determinants of short selling during ‘normal’ trading in the Hong Kong stock market. 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.
Number of Pages in PDF File: 34
Keywords: Short selling, Equities, Market efficiencyAccepted Paper Series
Date posted: October 6, 2012
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