Does Removing the Short-sale Constraint Improve Liquidity? Evidence from Hong Kong

摘要：

In Hong Kong, only stocks on a list of designated securities can be sold short. We find that allowing for shortselling increases the liquidity of lower priced stocks but not higher priced ones. Lower price and higher price stocks had comparable market capitalizations in our sample. However, lower price stocks had less publicly available information - they had larger adverse selection components in their bidask spreads and less sell-side analyst coverage. We also find that the uptick rule significantly decreases the market quality. Finally we do not find any evidence that allowing for shortselling increases total volatilities, upside volatilities, or downside volatilities.

关键词： Short-sale constraints market liquidity Hong Kong Stock Exchange

作者: Pengjie Gao Jia Hao Tongshu Ma

作者单位: Kellogg School of Management,Northwestern University David Eccles Business School,University of Utah Binghamton University School of Management

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）