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Short-sale constraints and stock price informativeness

Ebrahimnejad, A ; Sharif University of Technology | 2018

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  1. Type of Document: Article
  2. DOI: 10.1016/j.gfj.2018.11.002
  3. Publisher: Elsevier B.V , 2018
  4. Abstract:
  5. Morck, Yeung, and Yu (2000), in their pioneering study of international differences in stock price synchronicity, emphasize the effect of market development on investors' ability to incorporate firm-specific information into prices. We use a unique institutional feature in the Hong Kong market to investigate one of the important tools investors use to do this and hence reduce stock price synchronicity: short selling. Examining the cross-sectional and time-series variation in short-sale constraints in the Hong Kong market, we find that after the removal of short-sale constraints, stock prices become more informative and move less in tandem with the market. © 2018 Elsevier Inc
  6. Keywords:
  7. Comovement ; Short selling ; Stock price informativeness
  8. Source: Global Finance Journal ; Volume 40 , May , 2018 , Pages 28-34 ; 10440283 (ISSN)
  9. URL: https://www.sciencedirect.com/science/article/pii/S1044028318301935