Trading Strategy Based On The Influence Of Short Interest In A-Share Market

This paper examines the relationship between the short interest and the stockreturns in the A-share market from the launch of short selling, March31st2010toDecember3rd2013. I found that the relatively heavily shorted stocks will experiencepositive absolute and abnormal returns, which is quite different from the maturemarket, such as NASDAQ. Furthermore, the positive relationship between is robustwhich was tested by the Fama Macbeth test. Then I developed a trading strategy tolong the stocks that are top in heavily shorted stocks to achieve the positive returns.