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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
October 2012

Accounting & Finance, Vol. 52, pp. 183-216, 2012

Abstract:     
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 efficiency

Accepted Paper Series


Date posted: October 6, 2012  

Suggested Citation

McKenzie, Michael D. and Henry, Olan T., The Determinants of Short Selling: Evidence from the Hong Kong Equity Market (October 2012). Accounting & Finance, Vol. 52, pp. 183-216, 2012. Available at SSRN: http://ssrn.com/abstract=2157863 or http://dx.doi.org/10.1111/j.1467-629X.2011.00437.x

Contact Information

Michael David McKenzie
University of Sydney - Discipline of Finance ( email )
Level 2 9 Castlereagh Street
Sydney, NSW 2000
Australia
+61 2 9114 0578 (Phone)
+61 2 9351 6461 (Fax)
University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )
Trumpington Street
Cambridge, CB2 1AG
United Kingdom
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Olan T. Henry
University of Melbourne - Department of Economics ( email )
Victoria 3010
Australia
+613 3 8344 5312 (Phone)
+613 3 8344 6899 (Fax)
HOME PAGE: http://melbecon.unimelb.edu.au/staffprofile/ohenry/home.html
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