This study examines how short sales constraints affect the stock price adjustment to the release of public information in the Hong Kong Stock Exchange. Using a unique feature of this market that allows us to directly investigate the impact of short sales restriction, we find the following....

The paper investigates the stylized fact, addressed in several prior studies, that large-cap firms may have a lower probability of informed trading. Using 30 million intraday trades, daily trades, and firm accounting data of sample firms listed on the Stock Exchange of Thailand (SET), the paper...

This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the Hong Kong Stock Market has a special feature such that, at each point of time, only a subset of stocks are allowed to be sold short, with the list of these stocks changing over...

Employing a novel approach of integrating regime analysis with event analysis, we examine the overall valuation pattern of stocks that traverse the short-sale-ban and the no-ban regime, employing data from the Hong Kong market. Switching from the ban to the no-ban regime, stocks initially...

Individual stocks co-vary with each other in their liquidity, which induces a systematic, undiversifiable liquidity risk for investors. Despite the pervasive evidence on the commonality in individual liquidity within stock markets, few researches have looked at the source of commonality in...

Derivatives are set to hedge underlying-assets risks, but what firm-specific factors determine the use of derivatives are yet conclusively discovered. Using 308 manually collected annual reports from the listed companies and a logit regression model, this paper investigates the determinants...

This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....

This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the Hong Kong Stock Market has a special feature such that, at each point of time, only a subset of stocks are allowed to be sold short, with the list of these stocks changing over...

This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non-investible stocks. The difference in momentum effects between...