We provide a comprehensive comparison of equity short-selling activity and option market activity in predicting future returns. Three variables are constructed, namely the equity short interest ratio (SIR), put-call open interest ratio (PCOIR), and put-call buy volume ratio (PCBVR). The...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...