卖空丶流通限制与交叉上市股票价格.pdf

2009年12月 第11卷 第4期 中 国 会 计 与 财 务 研 究 C h in a A C C O U n t in g a n d F in a n c e R e v ie w Volume11，Number4一December2009 ShortSelling，FloatingConstraints，and Cross—Listed StockPrices Steven S．Y ．W ang术andW eiLi Abstract Weinvestigatethejointeffectsofshortselling，floatingconstraints，andheterogeneous beliefson stockpricesbyusingauniquedatasetofcross—listedChinesestocks．Because domesticA-sharesareSUbjecttobothshortsellingandfloatingrestrictionswhereas foreignH—sharesarenot，anH-sharepricediscountrepresentsapricebubbleinducedby tradingrestrictions．TheH—sharepricediscountsaresignificantlyandpositivelycorrelated with short--saletransactionsofH--sharesandnegativelycorrelatedwiththenon-·tradable A-sharereform variable，aftercontrollingformarket—specificsentimentandotherfactors， Furthermore，wefindthatshort sellingsignificantlywidensthepricediscountsinbullish butnotinbearishmarketperiods，andinmarketreturnupdaysbutnotindowndays． Finally，wefind thatlagged short—selling activitieshavepredictivepowerfor future H—sharepricediscounts． Keywords：Short—Sale Constraints，Floating Restrictions，HeterOgeneOusBeliefs， Sentiment，CrossListing． CLC codes：F83，F832 ’ Correspondingauthor：StevenWang，SchoolofAccountingandFinance，TheHongKongPolytechnic University，Kowloon，Hong Kong，China．Te1．：+852—2766—4952 Fax：+852—2330-9845．E—mail address：afwang@inet．polyu．edu．hk．Wewouldliketothanktheanonymousreferee，Chung．KiMin， andtheparticipantsintheChinaAccountingandFinanceReview InternationalSymposium 2009in Nanjing，China，fortheirhelpfulcommentsandsuggestions．Anyerrorsremainourown ●■■■ —纛 姻 StevenS．Y．W angandW eiLi l_lntroduction Restrictionsonbothshort