Effects of Short-Sale Constraints on Stock Prices and Trading Activity: Evidence from Hong Kong and Mainland China

Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross‐Listed Stocks

“…6 The rest of this paper is organized as follows. 6 Earlier studies documenting the detrimental impact of short sale constraints on stock prices include Ho (1996), Danielsen and Sorescu (2001), Rhee (2003), Chang, Cheng, and Yu (2007), Chan, Kot, and Yang (2010), Diether, Lee, and Werner (2009), and Boehmer, Jones, and Zhang (2008). In Section II, we describe our data and report our summary statistics.…”

Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban

“…19 A large body of empirical work presents evidence that short-sale constraints are consistent with overpricing of constrained stocks (see Jones and Lamont, 2001;Chang, Cheng, and Yu, 2007;Chan, Kot, and Yang, 2010). Gagnon and Witmer (2008) conclude that the 2008 ban on U.S. short sales of financial stocks led to an increase in the U.S. price of cross-listed financial stocks relative to the Canadian price and that the increase was reversed at the end of the ban period.…”

Against the tide: the commencement of short selling and margin trading in mainland China

“…Our results are also in accordance with Chan et al . () who show the premium of Chinese‐listed stocks over their dual listed Hong Kong equivalents becomes relatively larger during market declines, for stocks where H‐shares can be short sold. While the reduction in margin requirements might be expected to increase the relative prices (and premiums) of eligible A‐shares, Chinese investors with positive information could already trade prior to the regulation change by borrowing with credit cards and house mortgage agreements (Tarantino, ).…”