The study of short selling activities & patterns in Hong Kong stock market

Pao Yue-kong Library Electronic Theses Database

The study of short selling activities & patterns in Hong Kong stock market

 

Author: Cheng, Hon-leung
Title: The study of short selling activities & patterns in Hong Kong stock market
Degree: M.Sc.
Year: 2005
Subject: Hong Kong Polytechnic University -- Dissertations
Stock exchanges -- China -- Hong Kong
Short selling -- China -- Hong Kong
Speculation -- China -- Hong Kong
Department: Dept. of Computing
Pages: 59 leaves : ill. ; 30 cm.
InnoPac Record: http://library.polyu.edu.hk/record=b1835545
URI: http://theses.lib.polyu.edu.hk/handle/200/5586
Abstract: This research is about study of short selling activities in Hong Kong Stock Market between years 2000 to 2004. The study collects daily short selling trade information and performs analysis on their pattern of change. By applying performance indicator concept and data visualization technique, the study pictures the overall Hong Kong short selling landscape in form of charts. The chart result suggests that short selling is indeed being frequently practiced in Hong Kong market throughout these years. During the market downturn in year 2001 and 2002, higher than usual short selling activities were detected, suggesting that traders did apply the technique at Bear Market time. The chart result also reveals that traders have different tastes in picking stocks for short selling. Among various stocks, Blue Chip stocks exhibit steady and frequent short selling activity. Red Chip stocks exhibit similar behavior with less frequent participation. H-Share stocks have undergone dramatic change since 2002; they are becoming lot more active than before when comparing to the early years. For other stocks, less and less are engaged in high volume of short selling activity. Majority of them are with short selling volume ratio in the range of 5% - 10% of their normal trade volume, with a tendency moving toward the 10%-20% range. Given the high frequency of participation, magnitude conformity in short selling ratio and the different behaviors in stock picking, the study suggests that short selling in Hong Kong market is being practiced in a far more complex and sophisticated manner than merely to deal with overpricing of stocks.

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