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Title: Short selling, floating constraints, and cross-listed stock prices
Other Title: 賣空、流通限制與交叉上市股票價格
Authors: Wang, SY
Issue Date: 2009
Source: China accounting and finance review (中國會計與財務硏究), Dec. 2009, v. 11, no. 4, p. 47-76
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.
Keywords: Short-sale constraints
Floating restrictions
Heterogeneous beliefs
Cross listing
Journal: China accounting and finance review (中國會計與財務硏究) 
ISSN: 1029-807X
EISSN: 2307-3055
Rights: © 2009 香港理工大學, 清華大學
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