Keywords
Short-selling mechanism
Institutional investor ownership
Turnover rate
Stock returns
Submitted : 2025-12-10
Accepted : 2025-12-25
Published : 2026-01-09
Abstract
This paper investigates the impact mechanism of gambling behavior on stock returns under the short-selling mechanism, using Chinese stocks eligible for short selling from March 31, 2010, to January 31, 2024, as the research sample. Furthermore, it examines the heterogeneity in the moderating effect of short-selling intensity on the relationship between gambling behavior and stock returns across different market conditions (bull and bear markets), firm sizes, and ownership types. The empirical results reveal a significant negative relationship between gambling behavior and stock returns. However, short-selling intensity positively moderates this negative relationship, implying that a higher degree of short-selling weakens the adverse impact of gambling behavior on stock performance. This positive moderating effect is more pronounced in firms with a higher proportion of institutional ownership, while a higher turnover rate weakens the moderating effect. The heterogeneity analysis further shows that the negative association between gambling behavior and stock returns is stronger in bull markets. Compared to large-cap and non-state-owned enterprises, the moderating effect of short-selling intensity is more pronounced in small-cap and state-owned enterprises.
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