Short-Sales Constraints and Stock Return Asymmetry: Evidence From the Chinese Stock Markets

Topics:
Forecasting
Tags:
Finance,
Investment,
Stock,
Theory,
Western Michigan University
Source:
Western Michigan University

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Overview: The Chinese stock markets provide a great example for testing the Differences-of-Opinion theory proposed by Hong and Stein, because the difficulty of short-selling stocks in these markets fits the key assumption of the theory. Using daily data of the Shanghai and Shenzhen composite indexes from June 1995 to August 2001, evidence has been found that supports the Hong-Stein theory: higher trading volume today, which proxies for the differences of opinion, predicts a more negatively skewed distribution for the stock returns on the next trading day.

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Format: PDF | Size: 247KB | Date: May 2005 | Pages: 21

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