Title :
The Influence of Short Sales on Stock Market in China
Author :
Huaiyu, Yuan ; Qizhen, Lei
Author_Institution :
Sch. of Econ., Central South Univ. of Forestry & Technol., Changsha, China
Abstract :
Through the comparison between the liquidity and volatility of the Shanghai Composite Index before and after launch of short selling, this paper draws a conclusion that the liquidity does not significantly increase after the introduction of short selling, but the volatility significantly decrease. In addition, the volatility model advanced by Hardouvelis and Theodosiou (2001) is used to study the day volatility. The results further confirm the above conclusion.
Keywords :
economic indicators; stock markets; China; Shanghai composite index; liquidity model; short sale influence; short selling; stock market; volatility model; Computer crashes; Educational institutions; Finance; Indexes; Marketing and sales; Security; Stock markets; liquidity; non-parametric test; short sales; volatility;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2011 International Conference on
Conference_Location :
Shenzhen
Print_ISBN :
978-1-61284-450-3
DOI :
10.1109/ICIII.2011.58
