Short selling, floating constraints, and cross-listed stock prices

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. 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。