The debate among various market participants on the short-selling of securities continues today.Opponents of shortselling argue that it disrupts orderly markets by causing panic selling,high volatility,and market crashes.So this paper investigates what the impact of short selling on the volatility and liquidity of the Hong Kong stock market is,and the results indicate that short selling volumes do not Granger-cause market volatility,but volatility Granger-cause short selling volumes.Moreover Granger causality tests show that there is a bi-directional causality relationship between short selling volumes and market liquidity.
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