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Successive short‐selling ban lifts and gradual price efficiency: evidence from China
Author(s) -
Xiong Xiong,
Gao Ya,
Feng Xu
Publication year - 2017
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12327
Subject(s) - efficient market hypothesis , stock (firearms) , market efficiency , private information retrieval , lift (data mining) , china , monetary economics , stock price , economics , business , financial economics , stock market , commerce , mathematics , engineering , computer science , mechanical engineering , paleontology , statistics , horse , series (stratigraphy) , law , political science , biology , data mining
Using a database of five successive short‐selling ban lifts in the Chinese stock market, we find that the stock price efficiency gradually changes. Specifically, the price efficiency of stocks that can be shorted later improves more than the price efficiency of stocks that can be shorted earlier. Two hypotheses are tested to explain the gradual changed price efficiency: the private information hypothesis and the analysis capability hypothesis. We further show that short selling is more associated with private information than with public information and that the relationship grows stronger after each ban lift, which supports the private information hypothesis.