Does Short Selling Enhance the Allocational Role of Stock Price? Evidence from Hong Kong

Li Jiang; Lei Pang

doi:10.1111/jifm.12044

Does Short Selling Enhance the Allocational Role of Stock Price? Evidence from Hong Kong

Li Jiang, Lei Pang

Research output: Journal article publication › Journal article › Academic research › peer-review

2 Citations (Scopus)

Abstract

We find that short selling improves investment sensitivity to stock price, most likely through a channel that short selling increases stock price informativeness. Using the lifting of uptick rule for index arbitrageurs and market makers as an exogenous shock to short selling intensity, we confirm the causal effect of short selling on managerial learning. Overall, our evidence suggests that short selling enhances the role of stock price in resource allocation.

Original language	English
Pages (from-to)	269-297
Number of pages	29
Journal	Journal of International Financial Management and Accounting
Volume	27
Issue number	3
DOIs	https://doi.org/10.1111/jifm.12044
Publication status	Published - 1 Oct 2016

ASJC Scopus subject areas

Accounting
Business, Management and Accounting (miscellaneous)
Finance

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10.1111/jifm.12044

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abstract = "We find that short selling improves investment sensitivity to stock price, most likely through a channel that short selling increases stock price informativeness. Using the lifting of uptick rule for index arbitrageurs and market makers as an exogenous shock to short selling intensity, we confirm the causal effect of short selling on managerial learning. Overall, our evidence suggests that short selling enhances the role of stock price in resource allocation.",

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Does Short Selling Enhance the Allocational Role of Stock Price? Evidence from Hong Kong

Abstract

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