The Impact of Short Selling Constraints on Stock Pricing Efficiency
Download as PDF
Yan Zhou, Sai Wang, Jiawei Hao
As an important market transaction mode, the impact of short selling transactions on the securities market has attracted widespread attention in the academic and practical circles as early as the last century. In this paper, by directly constructing indicators to measure the efficiency of stock pricing, we examine the changes in the pricing efficiency of the underlying stocks before and after the opening of the margin trading business. The results show that the relaxation of short selling transactions significantly improves the efficiency of the price of the underlying stocks in reflecting negative market information, and improves the pricing efficiency of the underlying stocks.
Short selling, pricing efficiency, short selling constraint