Li, S.Mihaylov, G.Peranginangin, Y.Zurbruegg, R.2025-07-182025-07-182021Global Finance Journal, 2021; 48:100542-1-100542-121044-02831044-0283https://hdl.handle.net/2440/146141We 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.en© 2020 Elsevier Inc. All rights reserved.Short selling; Trading volume; A-shares; H-sharesJournal article10.1016/j.gfj.2020.1005422024-09-27536081Mihaylov, G. [0000-0001-8146-7881]Zurbruegg, R. [0000-0002-8652-0028]