Short-Selling Activities in the Time of COVID-19

Luu, Ellie; Xu, Fangming; Zheng, Liyi

doi:10.2139/ssrn.4142780

Cited by 2 publications

(4 citation statements)

References 72 publications

(136 reference statements)

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“…The authors found that short sales constraints significantly delayed the incorporation of information in stock prices and such restriction had significant return predictability Luu et al (2023) Short selling during the Covid-19 pandemic USA: January, 2019-April, 2020…”

Section: Theoretical Studymentioning

confidence: 99%

“…Recently, Luu et al (2023) examined short selling activities during the Covid-19 period and discovered that stocks with higher foreign exposure and limited financial flexibility were more likely to be shorted. They concluded that given the significant role of short sales in the price discovery process, banning short selling during the pandemic period would not be advisable.…”

Section: Cost Of Borrowing Stocks Short-sale Constraints and Stock Re...mentioning

confidence: 99%

“…Recently, Luu et al . (2023) examined short selling activities during the Covid-19 period and discovered that stocks with higher foreign exposure and limited financial flexibility were more likely to be shorted.…”

Section: Review Of Empirical Studies Providing Evidence On the Influe...mentioning

confidence: 99%

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Short-sale constraints and stock returns: a systematic review

Khan

2024

JCMS

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PurposeThis study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a comprehensive review of literature to elucidate the reasons behind these disparities.Design/methodology/approachA systematic review of existing theoretical and empirical studies was conducted following the PRISMA method. The analysis centered on discerning the factors contributing to the divergence in projected stock prices due to these constraints. Key areas explored included assumptions related to expectations homogeneity, revisions, information uncertainty, trading motivations and fluctuations in supply and demand of risky assets.FindingsThe review uncovered multifaceted reasons for the disparities in findings regarding the influence of short-sale constraints on stock prices. Variations in assumptions related to market expectations, coupled with fluctuations in perceived information uncertainty and trading motivations, were identified as pivotal factors contributing to differing projections. Empirical evidence disparities stemmed from the use of proxies for short-sale constraints, varied sample periods, market structure nuances, regulatory changes and the presence of option trading.Originality/valueThis study emphasizes the significance of not oversimplifying the impact of short-sale constraints on stock prices. It highlights the need to understand these effects within the broader context of market structure and methodological considerations. By delineating the intricate interplay of factors affecting stock prices under short-sale constraints, this review provides a nuanced perspective, contributing to a more comprehensive understanding in the field.

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Section: Theoretical Studymentioning

confidence: 99%

Section: Cost Of Borrowing Stocks Short-sale Constraints and Stock Re...mentioning

confidence: 99%

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Short-sale constraints and stock returns: a systematic review

Khan

2024

JCMS

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“…Mohamad et al [23] assessed the price discovery contribution of bitcoin spot and futures markets using information share metrics, revealing a shift in leadership from bitcoin futures to the spot market during the pandemic. Luu et al [24] analyzed daily short-selling activities in the U.S. market during the early 2020 outbreak of the global COVID-19 pandemic, highlighting the significant role of short selling in enhancing price discovery, supporting its substantial contribution during the pandemic. Consequently, a thorough investigation is warranted to ascertain whether the Chinese PVC futures market possesses a mature price discovery function and whether the PVC futures market has been able to operate efficiently, stabilize market prices, and provide reliable reference prices pre and post the COVID-19 pandemic.…”

Section: Introductionmentioning

confidence: 99%