Whether Short Selling Improve Price Efficiency and Liquidity in the Chinese Stock Market

——Research Based on Natural Experimental Data

DOI

10.2991/978-94-6463-441-9_12How to use a DOI?

Keywords

Short-selling; Margin Trading; Liquidity; Market Efficiency; Volatility

Abstract

This paper constructed different indicators to test the effect of the margin trading reform in China’s A-share market using detailed data between 2010 to 2014. The empirical evidence showed that the underlying group’s liquidity after the reform increases relative to the non-underlying group’s. And there was no clear evidence of the improvement of market efficiency for the underlying group. In terms of volatility, the spill-over effect was significant. These findings had implications for future advancement in the stock market.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Jianye Jin
PY  - 2024
DA  - 2024/06/21
TI  - Whether Short Selling Improve Price Efficiency and Liquidity in the Chinese Stock Market
BT  - Proceedings of the 2023 International Conference on Economic Management，Financial Innovation and Public Service (EMFIPS 2023)
PB  - Atlantis Press
SP  - 111
EP  - 129
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-441-9_12
DO  - 10.2991/978-94-6463-441-9_12
ID  - Jin2024
ER  -