Does Short Selling Enhance the Allocational Role of Stock Price? Evidence from Hong Kong

2015 ◽  
Vol 27 (3) ◽  
pp. 269-297 ◽  
Author(s):  
Li Jiang ◽  
Lei Pang
Keyword(s):  
Hong Kong ◽  
Stock Price ◽  
Short Selling

scholarly journals On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management

2015 ◽  
Vol 52 (3) ◽  
pp. 703-717
Author(s):  
Amogh Deshpande
Keyword(s):  
Asset Management ◽  
Optimal Strategy ◽  
Stock Price ◽  
Short Selling ◽  
Martingale Measure ◽  
Minimal Martingale Measure ◽  
Risk Sensitive ◽  
Risk Sensitive Control ◽  
Riskless Asset

Kuroda and Nagai (2002) stated that the factor process in risk-sensitive control asset management is stable under the Föllmer-Schweizer minimal martingale measure. Fleming and Sheu (2002) and, more recently, Föllmer and Schweizer (2010) observed that the role of the minimal martingale measure in this portfolio optimization is yet to be established. In this paper we aim to address this question by explicitly connecting the optimal wealth allocation to the minimal martingale measure. We achieve this by using a ‘trick’ of observing this problem in the context of model uncertainty via a two person zero sum stochastic differential game between the investor and an antagonistic market that provides a probability measure. We obtain some startling insights. Firstly, if short selling is not permitted and the factor process evolves under the minimal martingale measure, then the investor's optimal strategy can only be to invest in the riskless asset (i.e. the no-regret strategy). Secondly, if the factor process and the stock price process have independent noise, then, even if the market allows short-selling, the optimal strategy for the investor must be the no-regret strategy while the factor process will evolve under the minimal martingale measure.

Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets

2007 ◽  
Vol 10 (04) ◽  
pp. 469-478 ◽  
Author(s):  
Anthony Yanxiang Gu ◽  
Chauchen Yang
Keyword(s):  
Hong Kong ◽  
Stock Markets ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Short Selling ◽  
Return Volatility ◽  
Short Sales ◽  
Stock Price Volatility ◽  
Common Stocks

Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.

scholarly journals On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management

2015 ◽  
Vol 52 (03) ◽  
pp. 703-717
Author(s):  
Amogh Deshpande
Keyword(s):  
Asset Management ◽  
Optimal Strategy ◽  
Stock Price ◽  
Short Selling ◽  
Martingale Measure ◽  
Minimal Martingale Measure ◽  
Risk Sensitive ◽  
Risk Sensitive Control ◽  
Riskless Asset

Kuroda and Nagai (2002) stated that the factor process in risk-sensitive control asset management is stable under the Föllmer-Schweizer minimal martingale measure. Fleming and Sheu (2002) and, more recently, Föllmer and Schweizer (2010) observed that the role of the minimal martingale measure in this portfolio optimization is yet to be established. In this paper we aim to address this question by explicitly connecting the optimal wealth allocation to the minimal martingale measure. We achieve this by using a ‘trick’ of observing this problem in the context of model uncertainty via a two person zero sum stochastic differential game between the investor and an antagonistic market that provides a probability measure. We obtain some startling insights. Firstly, if short selling is not permitted and the factor process evolves under the minimal martingale measure, then the investor's optimal strategy can only be to invest in the riskless asset (i.e. the no-regret strategy). Secondly, if the factor process and the stock price process have independent noise, then, even if the market allows short-selling, the optimal strategy for the investor must be the no-regret strategy while the factor process will evolve under the minimal martingale measure.

The Role of HFT's in Order Flow Toxicity and Stock Price Variance

2014 ◽  
Author(s):  
serhat Yildiz ◽  
Bonnie F. Van Ness ◽  
Robert A. Van Ness
Keyword(s):  
Stock Price ◽  
Order Flow

Introduction

2018 ◽  
Author(s):  
Francis L. F Lee ◽  
Joseph M Chan
Keyword(s):  
Hong Kong ◽  
Social Movement ◽  
Media System ◽  
System P ◽  
Connective Action ◽  
Integrated Media ◽  
Media And Communication ◽  
The Ideal

Chapter 1 introduces the background of the Umbrella Movement, a protest movement that took hold in Hong Kong in 2014, and outlines the theoretical principles underlying the analysis of the role of media and communication in the occupation campaign. It explicates how the Umbrella Movement is similar to but also different from the ideal-typical networked social movement and crowd-enabled connective action. It explains why the Umbrella Movement should be seen as a case in which the logic of connective action intervenes into a planned collective action. It also introduces the notion of conditioned contingencies and the conceptualization of an integrated media system.

Hong Kong University Students’ Normative Beliefs about Aggression toward Police during Social Protests 2019–2020: The Role of Ecological Risks and Future Orientation

2021 ◽  
pp. 001112872110141
Author(s):  
Jian-Bin Li ◽  
Catrin Finkenauer
Keyword(s):  
Hong Kong ◽  
University Students ◽  
Community Violence ◽  
Future Orientation ◽  
Ecological Risks ◽  
Normative Beliefs ◽  
Poor Family ◽  
Social Protests ◽  
Delinquent Peers

We examined the association between normative beliefs about aggression toward police (NBAGG→P) and participation in social protests during 2019–2020 and use of aggression among 1,025 Hong Kong university students. We also investigated the role of ecological risks (i.e., distrust in institutions, exposure to community violence, poor family monitoring, poor university discipline and affiliation with delinquent peers) and future orientation in NBAGG→P. The results showed that NBAGG→P was related to more participation in social protests and use of aggression. Ecological risks (except for poor family monitoring) and a positive future orientation were related to more and less NBAGG→P, respectively. Moreover, the “distrust in institutions and NBAGG→P” link was stronger for students with more, rather than less, positive future orientation.

Who Are the Stalking Victims? Exploring the Victimization Experiences and Psychosocial Characteristics of Young Male and Female Adults in Hong Kong

2019 ◽  
pp. 088626051988993 ◽  
Author(s):  
Heng Choon (Oliver) Chan ◽  
Lorraine Sheridan
Keyword(s):  
Hong Kong ◽  
Young Male ◽  
Limited Information ◽  
Psychosocial Characteristics ◽  
Male And Female ◽  
Lifetime Prevalence Rate ◽  
Victimization Experience ◽  
Stalking Victims ◽  
Stalking Victimization

Most stalking studies are conducted in the West. Limited information is available on victims of stalking from the Asian continent. This study specifically explored the victimization experiences of young male and female adults in Hong Kong. Using a large sample of university students ( N = 2,496) aged between 18 and 40 years, the gender distribution of stalking incident characteristics was examined, along with prevalence of various stalking behaviors, and victim–offender relationships by types of stalking behaviors. The differential role of demographic and psychosocial characteristics in stalking victimization experience was also explored. The lifetime prevalence rate of stalking victimization was 8.2%, with a higher estimate in females than males (11.6% vs. 3.8%). The sample analyzed in this study was 196 stalking victims. Although surveillance-oriented behaviors were most frequently reported by both males and females, significant gender differences in types of stalking behaviors were noted. Multivariate analyses indicated that increases in age and levels of self-esteem were correlated with an increased probability of experiencing stalking victimization, while being a male and higher levels of life satisfaction were related to a lower likelihood of falling prey to stalking victimization. This study concludes with a call for anti-stalking legislation in Hong Kong given the devastating nature and consequences of stalking victimization.

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