Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/60077
Title: Short selling, floating constraints, and cross-listed stock prices
Authors: Wang, SY
Li, WEI
Keywords: Short-sale constraints
Floating restrictions
Heterogeneous beliefs
Sentiment
Cross listing
Issue Date: 2009
Publisher: Hong Kong Polytechnic University and Tsinghua University
Source: China accounting and finance review (中國會計與財務硏究), Dec. 2009, v. 11, no. 4, p. 47-76 How to cite?
Journal: China accounting and finance review (中國會計與財務硏究) 
Abstract: We investigate the joint effects of short selling, fl oating constraints, and heterogeneous beliefs on stock prices by using a unique data set of cross-listed Chinese stocks. Because domestic A-shares are subject to both short selling and fl oating restrictions whereas foreign H-shares are not, an H-share price discount represents a price bubble induced by trading restrictions. The H-share price discounts are signifi cantly and positively correlated with short-sale transactions of H-shares and negatively correlated with the non-tradable A-share reform variable, after controlling for market-specifi c sentiment and other factors. Furthermore, we fi nd that short selling signifi cantly widens the price discounts in bullish but not in bearish market periods, and in market return up days but not in down days. Finally, we fi nd that lagged short-selling activities have predictive power for future H-share price discounts.
URI: http://hdl.handle.net/10397/60077
ISSN: 1029-807x (print)
2307-3055 (eISSN)
Rights: © 2009 香港理工大學, 清華大學
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