title: Short selling and intraday volatility: evidence from the Chinese market.
abstract: The implementation of margin trading and securities lending mechanism offers us a unique circumstance to analyze the impact of short selling regulations in China. We define the addition events as the stocks are included to the designated securities list and therefore can be sold short. By focusing on the 30 trading days around the addition events, the results document statistically significant post-event increase in volatility relative to the overall market and absolute value of trading volume. Specifically, small-cap stocks experience the sharpest increase. The robustness is also performed to validate the results.
authors.affiliation: College of Management and Economics, Tianjin University, 300072 Tianjin, People's Republic of China ; China Center for Social Computing and Analytics, Tianjin University, 300072 Tianjin, People's Republic of China.
authors.forename: Yongjie
authors.initials: Y
authors.lastname: Zhang
authors.affiliation: College of Management and Economics, Tianjin University, 300072 Tianjin, People's Republic of China.
authors.forename: Keming
authors.initials: K
authors.lastname: Liu
authors.affiliation: College of Management and Economics, Tianjin University, 300072 Tianjin, People's Republic of China ; China Center for Social Computing and Analytics, Tianjin University, 300072 Tianjin, People's Republic of China.
authors.forename: Dehua
authors.initials: D
authors.lastname: Shen
authors.affiliation: College of Management and Economics, Tianjin University, 300072 Tianjin, People's Republic of China ; China Center for Social Computing and Analytics, Tianjin University, 300072 Tianjin, People's Republic of China.
authors.forename: Wei
authors.initials: W
authors.lastname: Zhang
keywords: Chinese stock market; Intraday volatility; Relative ranking; Short selling