34 Pages Posted: 6 Oct 2012
Date Written: October 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.
Keywords: Short selling, Equities, Market efficiency
Suggested Citation: 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: https://ssrn.com/abstract=2157863 or http://dx.doi.org/10.1111/j.1467-629X.2011.00437.x
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