Hu, Ou; Huang, Zhaodan; Liao, Bih-shuang - In: The Quarterly Review of Economics and Finance 49 (2009) 3, pp. 1146-1158
Using short sale data of the Taiwan Stock Exchange from January 1991 to September 2004, we examine the informational role played by short interest in stock price formation. Consistent with previous findings based on the US and Australian stock markets, our results show that heavily shorted...