Short Selling and Idiosyncratic Return Volatility
Short Selling and Idiosyncratic Return Volatility
Author：Pan Lingyun，Dong Zhu Journal：Journal of Technology Economics Date：2021（7）
Abstract：It examines the impact of short‐selling on idiosyncratic return volatility and the moderating role played by firm growth by using the 2010‐2018 China A‐share market securities index data. The results show as follows. Firstly，short selling effectively inhibited idiosyncratic return volatility. After using the instrumental variable method and the“transfer of securities”system as a natural experiment to alleviate the endogeneity problem，the conclusion is still stable. Secondly，the inhibitory effect of short‐selling on idiosyncratic return volatility is more obvious in firms with higher growth. Finally，in the investigation of the mechanism，it is found that the short selling is mainly to suppress idiosyncratic return volatility by improving the transparency of corporate information. The above research conclusions mean that China should strengthen the role of short selling in the stabilization of the capital market.
Keywords：short selling；idiosyncratic return volatility；firm growth；corporate information transparency
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