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Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market
16 references·16 citing·43 second hopsampled
Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market (2013)Short-selling, margin-trading, and price …Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Short Sellers and Financial Misconduct (2010)Short Sellers and Financial M…Price Efficiency and Short Selling (2010)Price Efficiency and Short Se…Short-Sale Strategies and Return Predictability (2008)Short-Sale Strategies and Ret…Which Shorts Are Informed? (2007)Which Shorts Are Informed?Supply and Demand Shifts in the Shorting Market (2007)Supply and Demand Shifts in t…Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market (2007)Short‐Sales Constraints and P…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…The market for borrowing stock (2002)The market for borrowing stockBreadth of ownership and stock returns (2002)Breadth of ownership and stoc…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence (1981)The Informational Effects of …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Retail attention, retail trades, and stock price crash risk (2021)Retail attention, retail trad…Does stock market liberalization improve stock price efficiency? Evidence from China (2021)Does stock market liberalizat…Value relevance of the new environmental enforcement regime in China (2020)Value relevance of the new en…The unintended real effects of short selling in an emerging market (2020)The unintended real effects o…Short Selling: A Review of the Literature and Implications for Future Research (2020)Short Selling: A Review of th…Short selling and labor investment efficiency: evidence from the Chinese stock market (2020)Short selling and labor inves…Heterogeneous Institutional Investors, Short Selling and Stock Price Crash Risk: Evidence from China (2019)Heterogeneous Institutional I…Does short selling affect a firm's financial constraints? (2019)Does short selling affect a f…Stock market liquidity and trading activity: Is China different? (2018)Stock market liquidity and tr…Quality of Corporate Social Responsibility Disclosure and Cost of Equity Capital: Lessons from China (2018)Quality of Corporate Social R…Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Pairs trading with a mean-rev…Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China (2017)Does short selling improve st…Capital markets, financial institutions, and corporate finance in China (2017)Capital markets, financial in…Short selling, margin trading, and the incorporation of new information into prices (2016)Short selling, margin trading…Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach (2015)Information transmission betw…Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach (2013)Index Futures Trading and Sto…Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)The arbitrage theory of capital asset pricing (1976)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Short Selling and the Price Discovery Process (2012)Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms (2014)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Institutional Investors and the Informational Efficiency of Prices (2009)Biases in Dynamic Models with Fixed Effects (1981)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Corporate Immunity to the COVID-19 Pandemic (2020)The Cross-Section of Expected Stock Returns (1992)Short sales, institutional investors and the cross-section of stock returns (2005)On Persistence in Mutual Fund Performance (1997)A liquidity-augmented capital asset pricing model (2006)Sports Sentiment and Stock Returns (2007)Replicating Anomalies (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 2002Breadth of ownership and stock returns1,175 cited
  • 2002The market for borrowing stock1,161 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 2007Which Shorts Are Informed?966 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2008Short-Sale Strategies and Return Predictability731 cited
  • 2010Price Efficiency and Short Selling669 cited
  • 2010Short Sellers and Financial Misconduct573 cited
  • 2007Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market484 cited
  • 2007Supply and Demand Shifts in the Shorting Market478 cited
  • 1981

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The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence
394 cited

Cited by

  • 2017Capital markets, financial institutions, and corporate finance in China137 cited
  • 2019Does short selling affect a firm's financial constraints?124 cited
  • 2020Short Selling: A Review of the Literature and Implications for Future Research98 cited
  • 2020Value relevance of the new environmental enforcement regime in China70 cited
  • 2018Quality of Corporate Social Responsibility Disclosure and Cost of Equity Capital: Lessons from China68 cited
  • 2020The unintended real effects of short selling in an emerging market66 cited
  • 2019Heterogeneous Institutional Investors, Short Selling and Stock Price Crash Risk: Evidence from China63 cited
  • 2021Retail attention, retail trades, and stock price crash risk61 cited
  • 2018Stock market liquidity and trading activity: Is China different?60 cited
  • 2021Does stock market liberalization improve stock price efficiency? Evidence from China59 cited
  • 2015Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach59 cited
  • 2017Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China57 cited
  • 2016Short selling, margin trading, and the incorporation of new information into prices51 cited
  • 2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data49 cited
  • 2020Short selling and labor investment efficiency: evidence from the Chinese stock market46 cited
  • 2013Index Futures Trading and Stock Market Volatility in China: A Difference‐in‐Difference Approach46 cited