298
Views
2
CrossRef citations to date
0
Altmetric
Research Article

Do short selling and margin buying stabilize the market? Evidence from China

&

References

  • Asquith, P., P. A. Pathak, and J. R. Ritter. 2005. “Short Interest, Institutional Ownership, and Stock Returns.” Journal of Financial Economics 78 (2): 243–276 doi:10.1016/j.jfineco.2005.01.001.
  • Bai, Y., E. C. Chang, and J. Wang. 2006. “Asset Prices under Short-sale Constraints.” Working paper. MIT Sloan School of Management.
  • Boehmer, E., C. M. Jones, and X. Zhang. 2008. “Which Shorts are Informed?” The Journal of Finance 63 (2): 491–527. doi:10.1111/j.1540-6261.2008.01324.x.
  • Boehmer, E., C. M. Jones, and X. Zhang. 2013. “Shackling Short Sellers: The 2008 Shorting Ban.” The Review of Financial Studies 26 (6): 1363–1400. doi:10.1093/rfs/hht017.
  • Callen, J. L., and X. Fang. 2015. “Short Interest and Stock Price Crash Risk.” Journal of Banking & Finance 60: 181–194. doi:10.1016/j.jbankfin.2015.08.009.
  • Christophe, S. E., M. G. Ferri, and J. Hsieh. 2010. “Informed Trading before Analyst Downgrades: Evidence from Short Sellers.” Journal of Financial Economics 95 (1): 85–106. doi:10.1016/j.jfineco.2009.02.004.
  • Corsi, F. 2009. “A Simple Approximate Long-memory Model of Realized Volatility.” Journal of Financial Econometrics 7 (2): 174–196. doi:10.1093/jjfinec/nbp001.
  • Diether, K. B., K. H. Lee, and I. M. Werner. 2009. “It’s SHO Time! Short‐Sale Price Tests and Market Quality.” The Journal of Finance 64 (1): 37–73. doi:10.1111/j.1540-6261.2008.01428.x.
  • Engelberg, J. E., A. V. Reed, and M. C. Ringgenberg. 2012. “How are Shorts Informed?: Short Sellers, News, and Information Processing.” Journal of Financial Economics 105 (2): 260–278. doi:10.1016/j.jfineco.2012.03.001.
  • Figlewski, S. 1981. “The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence.” Journal of Financial and Quantitative Analysis 16 (4): 463–476. doi:10.2307/2330366.
  • French, K. R., and R. Roll. 1986. “Stock Return Variances: The Arrival of Information and the Reaction of Traders.” Journal of Financial Economics 17 (1): 5–26. doi:10.1016/0304-405X(86)90004-8.
  • Hardouvelis, G. A. 1990. “Margin Requirements, Volatility, and the Transitory Component of Stock Prices.” American Economic Review 80 (4): 736–762.
  • Hardouvelis, G. A., and P. Theodossiou. 2002. “The Asymmetric Relation between Initial Margin Requirements and Stock Market Volatility across Bull and Bear Markets.” The Review of Financial Studies 15 (5): 1525–1559. doi:10.1093/rfs/15.5.1525.
  • Ho, K. W. 1996. “Short-sales Restrictions and Volatility the Case of the Stock Exchange of Singapore.” Pacific-Basin Finance Journal 4 (4): 377–391. doi:10.1016/S0927-538X(96)00018-2.
  • Hong, H., and J. C. Stein. 2003. “Differences of Opinion, Short-sales Constraints, and Market Crashes.” The Review of Financial Studies 16 (2): 487–525. doi:10.1093/rfs/hhg006.
  • Jones, C. M. 2012. “Shorting Restrictions: Revisiting the 1930s.” Financial Review 47 (1): 1–35. doi:10.1111/fire.2011.47.issue-1.
  • Karpoff, J. M., and X. Lou. 2010. “Short Sellers and Financial Misconduct.” The Journal of Finance 65 (5): 1879–1913. doi:10.1111/j.1540-6261.2010.01597.x.
  • Li, R., N. Li, J. Li, and C. Wu. 2018. “Short Selling, Margin Buying and Stock Return in China Market.” Accounting & Finance 58 (2): 477–501. doi:10.1111/acfi.12229.
  • Li, W., and S. S. Wang. 2010. “Daily Institutional Trades and Stock Price Volatility in a Retail Investor Dominated Emerging Market.” Journal of Financial Markets 13 (4): 448–474. doi:10.1016/j.finmar.2010.07.003.
  • Saffi, P. A., and K. Sigurdsson. 2011. “Price Efficiency and Short Selling.” The Review of Financial Studies 24 (3): 821–852. doi:10.1093/rfs/hhq124.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.