Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/60077
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dc.contributorSchool of Accounting and Financeen_US
dc.creatorWang, SYen_US
dc.creatorLi, WEIen_US
dc.date.accessioned2016-11-21T02:35:54Z-
dc.date.available2016-11-21T02:35:54Z-
dc.identifier.issn1029-807Xen_US
dc.identifier.urihttp://hdl.handle.net/10397/60077-
dc.language.isoenen_US
dc.language.isozhen_US
dc.rights© 2009 香港理工大學, 清華大學en_US
dc.subjectShort-sale constraintsen_US
dc.subjectFloating restrictionsen_US
dc.subjectHeterogeneous beliefsen_US
dc.subjectSentimenten_US
dc.subjectCross listingen_US
dc.titleShort selling, floating constraints, and cross-listed stock pricesen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage47en_US
dc.identifier.epage76en_US
dc.identifier.volume11en_US
dc.identifier.issue4en_US
dcterms.abstractWe 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.en_US
dcterms.abstract利用一個獨特的中國交叉上市公司數據集,我們考察賣空和流通限制、以及不同觀念對股票價格的影響。由於國內A股同時受制於賣空和流通限制,而H股沒有此類限制,H股價格折讓代表着由交易限制引發的價格泡沫。我們發現,在控制了市場情緒和其它因素後,H股價格折讓與H股賣空交易顯著正相關,而與A股非流通股改革變量負相關。我們還發現,在牛市和市場回報率上升時,賣空會顯著增大股票價格的折讓,而在熊市和市場回報率下跌時,賣空則沒有這種作用。最後,我們發現前期的賣空活動對未來H股價格折讓水平有預測能力。en_US
dcterms.accessRightsopen accessen_US
dcterms.alternative賣空、流通限制與交叉上市股票價格en_US
dcterms.bibliographicCitationChina accounting and finance review (中國會計與財務硏究), Dec. 2009, v. 11, no. 4, p. 47-76en_US
dcterms.isPartOfChina accounting and finance review (中國會計與財務硏究)en_US
dcterms.issued2009-
dc.identifier.eissn2307-3055en_US
dc.identifier.rosgroupidr45809-
dc.description.ros2009-2010 > Academic research: refereed > Publication in refereed journalen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_IR/PIRAen_US
dc.description.pubStatusPublisheden_US
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