Abstract
We investigate the impact of short selling and margin trading on measures of price efficiency, characteristics of stock returns distributions, and price clustering in the Chinese equity market. Short selling and margin trading was permitted on selected stocks from March 31, 2010 and was subsequently extended to further securities in December 5, 2011. First, we find that the regulation change does not have a consistent impact on various price efficiency measures. Second, lifting short-sales constraints significantly reduces skewness. Third, the avoidance of numbers ending in 4, which is considered as unlucky, has marginally been reduced following the regulation change.
Published Version
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