Short selling patterns in cross-listed stocks

Shan Li, George Mihaylov, Yessy Peranginangin, Ralf Zurbruegg

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)


We examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that short selling around earnings announcements occurs primarily on the H-share market, which then leads to differences in the post-announcement drift of cross-listed stocks in the A- and H-share markets. In addition, we also show that these trades are, at least in part, driven by private signals that likely relate to firms which are more opaque and further away from a major financial exchange. Our findings have direct implications for explaining the A- and H-share pricing discrepancy by showing a potential channel through which negative news is asymmetrically impounded into H-share prices.

Original languageEnglish
Article number100542
Number of pages12
JournalGlobal Finance Journal
Publication statusPublished - May 2021


  • A-shares
  • H-shares
  • Short selling
  • Trading volume

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