Short selling patterns in cross-listed stocks

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dc.contributor.authorLi, S.
dc.contributor.authorMihaylov, G.
dc.contributor.authorPeranginangin, Y.
dc.contributor.authorZurbruegg, R.
dc.date.issued2021
dc.description.abstractWe examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that short selling around earnings announcements occurs primarily on the H-share market, which then leads to differences in the postannouncement drift of cross-listed stocks in the A- and H-share markets. In addition, we also show that these trades are, at least in part, driven by private signals that likely relate to firms which are more opaque and further away from a major financial exchange. Our findings have direct implications for explaining the A- and H-share pricing discrepancy by showing a potential channel through which negative news is asymmetrically impounded into H-share prices.
dc.description.statementofresponsibilityShan Li, George Mihaylov, Yessy Peranginangin, Ralf Zurbruegg
dc.identifier.citationGlobal Finance Journal, 2021; 48:100542-1-100542-12
dc.identifier.doi10.1016/j.gfj.2020.100542
dc.identifier.issn1044-0283
dc.identifier.issn1044-0283
dc.identifier.orcidMihaylov, G. [0000-0001-8146-7881]
dc.identifier.orcidZurbruegg, R. [0000-0002-8652-0028]
dc.identifier.urihttps://hdl.handle.net/2440/146141
dc.language.isoen
dc.publisherElsevier
dc.rights© 2020 Elsevier Inc. All rights reserved.
dc.source.urihttps://www.sciencedirect.com/science/article/abs/pii/S1044028320300545
dc.subjectShort selling; Trading volume; A-shares; H-shares
dc.titleShort selling patterns in cross-listed stocks
dc.typeJournal article
pubs.publication-statusPublished

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