| Residential College | false |
| Status | 已發表Published |
| Short Sale, Margin Purchase, and Stock Price Crash Risk | |
Yan Luo1; Jinjuan Ren2
| |
| 2016 | |
| Conference Name | Asian Finance Association (AsianFA) 2016 Conference |
| Source Publication | SSRN Electronic Journal
 |
| Conference Date | February 1, 2016 |
| Conference Place | Thailand |
| Abstract | We investigate the impact of short-sale and margin-purchase on stock price crash risk in the Chinese markets. China lifted bans on short-sale and margin-purchase for stocks on an expanding designated list since March 2010. Results of difference in different tests reveal that the removal of bans on short-sale and margin-purchase is followed by a reduction in stock price crash risk over the subsequent six months. Utilizing firm-level daily short-sale and margin-purchase turnover data, we find that short sales reduce future stock price crash risk whereas margin purchases add to the risk. |
| Keyword | Crash Risk Chinese Market Margin Purchase Short Sale |
| DOI | 10.2139/ssrn.2725776 |
| Language | 英語English |
| Fulltext Access | |
| Citation statistics | |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS Faculty of Business Administration |
| Affiliation | 1.Fudan University 2.University of Macau |
| Recommended Citation GB/T 7714 | Yan Luo,Jinjuan Ren. Short Sale, Margin Purchase, and Stock Price Crash Risk[C], 2016. |
| APA | Yan Luo., & Jinjuan Ren (2016). Short Sale, Margin Purchase, and Stock Price Crash Risk. SSRN Electronic Journal. |
| Files in This Item: | There are no files associated with this item. | |||||
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