The authors would like to acknowledge the financial support of grants from the ARC and the Australian Centre for Financial Studies in undertaking this research project. We would also like to thank an anonymous referee whose comments greatly improved the paper.
The determinants of short selling: evidence from the Hong Kong equity market
Version of Record online: 15 AUG 2011
© 2011 The Authors. Accounting and Finance © 2011 AFAANZ
Accounting & Finance
Volume 52, Issue Supplement s1, pages 183–216, October 2012
How to Cite
McKenzie, M. and Henry, Ó. T. (2012), The determinants of short selling: evidence from the Hong Kong equity market. Accounting & Finance, 52: 183–216. doi: 10.1111/j.1467-629X.2011.00437.x
- Issue online: 5 OCT 2012
- Version of Record online: 15 AUG 2011
- Received 3 November 2010; accepted 29 June 2011 by Robert Faff (Editor).
- Short selling;
- Market efficiency
While most financial regulators agree that short sellers have an important role to play in ensuring an efficiently functioning market, it is interesting to note that many did not hesitate to ban short selling during the recent financial crisis. This apparent contradiction most likely stems from a lack of understanding about what motivates short trading. In this paper, we focus on the determinants of short selling during ‘normal’ trading in the Hong Kong stock market. We find that dividend payments, company fundamentals, risk, option trading, the interest rate spread and past returns and short selling are all significant determinants of short selling.