Short sales and speed of price adjustment: Evidence from the Hong Kong stock market

Journal of Banking and Finance

Volumn 34, Issue 2, 2010, Pages 471-483

  Chen, Crystal Xiaobei ^a,c   Rhee, S Ghon ^b,c  

^a NORTHEASTERN ILLINOIS UNIVERSITY   (United States)

^b Sungkyunkwan University   (South Korea)

^c UNIVERSITY OF HAWAII   (United States)

Author keywords

Hong Kong stock exchange; Information; Market efficiency; Short sales; Speed of price adjustment

Indexed keywords

EID: 70449134645     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.08.012     Document Type: Article

References (47)

1. Ackert L., and Athanassakos G. The relation between short interest and stock returns in the Canadian market. Journal of Banking and Finance 29 (2005) 1729-1749
2. Aitken M., Frino A., McCorry M., and Swan P. Short sales are almost instantaneously bad news: evidence from the Australian stock exchange. Journal of Finance 53 (1998) 2205-2223
3. Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (2002) 31-56
4. Amihud Y., and Mendelson H. Trading mechanisms and stock returns: an empirical investigation. Journal of Finance 42 (1987) 533-553
5. Asem E. Dividends and price momentum. Journal of Banking and Finance 33 (2009) 486-494
6. Asquith, P., Meulbroek, L., 1995. An empirical Investigation of Short Interest. Working Paper, Harvard University.
7. Asquith P., Pathak P., and Ritter J. Short interest, institutional ownership, and stock returns. Journal of Financial Economics 78 (2005) 243-276
8. Boehmer E., Jones C., and Zhang X. Which shorts are informed?. Journal of Finance 63 (2008) 491-527
9. Bris A., Goetzmann W., and Zhu N. Efficiency and the bear: short sales and markets around the world. Journal of Finance 62 (2007) 1029-1079
10. Chang E., Cheng J., and Yu Y. Short-sales constraints and price discovery: evidence from the Hong Kong market. Journal of Finance 62 (2007) 2097-2121
11. Charoenrook, A., Daouk, H., 2005. Study of Market-Wide Short-Selling Restrictions. Available at SSRN: .
12. Chordia T., and Swaminathan B. Trading volume and cross-autocorrelations in stock returns. Journal of Finance 55 (2000) 913-935
13. Damodaran A. A simple measure of price adjustment coefficients. Journal of Finance 48 (1993) 387-400
14. Danielsen B., and Sorescu S. Why do option introductions depress stock prices? A study of diminishing short sales constraints. Journal of Financial and Quantitative Analysis 36 (2001) 451-484
15. Daske, H., Richardson, S., Tuna, I., 2006. Is Aggregate Short Selling a Useful Proxy for Sophisticated Information Based on Trading? New Evidence from NYSE Daily Data. Working Paper, University of Pennsylvania.
16. Desai H., Ramesh K., Ramu S., and Balachandran B. An investigation of the informational role of short interest in the Nasdaq market. Journal of Finance 57 (2002) 2263-2287
17. Diamond D., and Verrecchia R. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18 (1987) 277-311
18. Diether K., Lee K., and Werner I. Short-sale strategies and return predictability. Review of Financial Studies 22 (2009) 575-607
19. Diether K., Lee K., and Werner I. It's SHO time! Short-sale price test and market quality. Journal of Finance 64 (2009) 37-73
20. Dimson E. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics 7 (1979) 197-226
21. Driessen J., and Laeven L. International portfolio diversification benefits: cross-country evidence from a local perspective. Journal of Banking and Finance 31 (2007) 1693-1712
22. Endo, T., Rhee, S., 2006. Margin Purchases and Short Sales in Emerging Markets: Their Rationale and Design Variables. World Bank Financial Sector Discussion Series.
23. Fama E. Efficient capital markets II. Journal of Finance 46 (1991) 1575-1617
24. Figlewski S. The information effects of restrictions on short sales: some empirical evidence. Journal of Financial and Quantitative Analysis 16 (1981) 463-476
25. Figlewski S., and Webb G. Options, short sales, and market completeness. Journal of Finance 48 (1993) 761-777
26. Fung J., and Draper P. Mispricing of index futures contracts and short sales constraints. Journal of Futures Market 19 (1999) 695-715
27. Gao, P., Hao, J., Ma, T., 2006. Does Removing the Short-sale Constraint Improve Liquidity? Evidence from Hong Kong. Working Paper, Northwestern University.
28. Hasbrouck J. Trades, quotes, inventories and information. Journal of Financial Economics 22 (1988) 229-252
29. Hasbrouck J. Measuring the information content of stock trades. Journal of Finance 46 (1991) 179-207
30. Hasbrouk J., and Ho T. Order arrival, quote behavior and the return generating process. Journal of Finance 42 (1987) 1035-1048
31. Hong H., and Stein J. Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16 (2003) 487-525
32. Jennings R., and Starks L. Earnings announcements, stock price adjustment, and the existence of option markets. Journal of Finance 41 (1986) 107-125
33. Jones C., and Lamont O. Short-sale constraints and stock returns. Journal of Financial Economics 66 (2002) 207-239
34. Jones, C., Lipson, M., 1999. Price Impacts and Quote Adjustment on the NASDAQ and NYSE/AMEX. Paine Webber Working Paper No. 99-08.
35. Kallio M., and Ziemba W. Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory. Journal of Banking and Finance 31 (2007) 2281-2302
36. Lo A., and MacKinlay C. When are contrarian profits due to stock market overreaction?. Review of Financial Studies 3 (1990) 175-205
37. Madhavan A., Richardson M., and Roomans M. Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies 10 (1997) 1035-1064
38. Manaster S., and Rendleman R. Option prices as predictors of equilibrium stock prices. Journal of Finance 37 (1982) 1043-1058
39. Mayhew, S., Mihov, V., 2004. Short Sales Constraints, Overvaluation, and the Introduction of Options. Working Paper, US Securities and Exchange Commission.
40. Mazouz K., Joseph N., and Joulmer J. Stock price reaction following large one-day price changes: UK evidence. Journal of Banking and Finance 33 (2009) 1481-1493
41. Miller E. Risk, uncertainty, and divergence of opinion. Journal of Finance 32 (1977) 1151-1168
42. Nilsson R. The value of shorting. Journal of Banking and Finance 32 (2008) 880-891
43. Ofek E., and Richardson M. DotCom mania: the rise and fall of Internet stock prices. Journal of Finance 58 (2003) 1113-1138
44. Patell J., and Wolfson M. The intraday speed of adjustment of stock prices to earnings and dividend announcements. Journal of Financial Economics 13 (1984) 223-252
45. Reed, A., 2003. Costly Short-selling and Stock Price Adjustment to Earnings Announcements. Working Paper, University of North Carolina.
46. Senchack A., and Starks L. Short-sale restrictions and market reaction to short-interest announcements. Journal of Financial and Quantitative Analysis 28 (1993) 177-194
47. Wu, J., 2007. Short Selling and the Informational Efficiency of Price. Working Paper, Texas A&M University.