What Determines the Level of Short-Selling Activity?

Hung Wan KOT

Research output: Contribution to journalArticlepeer-review

Abstract

I test several explanations for the short-sale trading for a sample of the NYSE and the Nasdaq stocks during the 1988-2002 period. I find that short-selling activity is positively related to arbitrage opportunities and hedging demand, and negatively related to previous short-term returns. ANOVA analysis shows that the stock option listing is the most dominant variable in explaining the short-selling level. The short-selling level is more positively related to the dummy variables for convertible debt and option listing during the bubble period, suggesting that there was more room for arbitrage opportunity during that volatile period.
Original languageEnglish
Pages (from-to)123-141
Number of pages19
JournalFinancial Management
Volume36
Issue number4
Publication statusPublished - Dec 2007

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