Short-sales and heterogeneous beliefs:Evidence fromChina stock market

XIONG Xiong, GAO Ya, FENG Xu

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 1937-1948.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (8) : 1937-1948. DOI: 10.12011/1000-6788(2017)08-1937-12

Short-sales and heterogeneous beliefs:Evidence fromChina stock market

  • XIONG Xiong1,2, GAO Ya1, FENG Xu1,2
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Abstract

Miller theorizes that without short-sale constraints, security price reflects more pessimistic opinions and thus alleviates stock overvaluation. By analyzing the data of 5 main revisions of short sale list in China stock market, we find that short-sale policies bring more heterogeneous beliefs and lower stock overvaluation. Moreover, in China stock market, margin trading and short selling are introduced at the same time, it is necessary to exclude the impact of margin trading. Using trading data of these two mechanisms, we find short-sale is the main reason of these phenomena. The results of this study show that short sale has a positive effect on improving the quality of China stock market.

Key words

China stock market / stock price adjustment / short sale / heterogeneous beliefs

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XIONG Xiong , GAO Ya , FENG Xu. Short-sales and heterogeneous beliefs:Evidence fromChina stock market. Systems Engineering - Theory & Practice, 2017, 37(8): 1937-1948 https://doi.org/10.12011/1000-6788(2017)08-1937-12

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Funding

National Natural Science Foundation of China (71532009,71320107003,71401121);Tianjin Education Commission Key Project on Social Sciences (2016JWZD08)
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