Việc tăng lãi suất ngắn dường như là do việc mua đặt bằng cách hạn chế người bán ngắn có ý định là sau đó được chuyển thành doanh số ngắn bởi các hoạt động bảo hiểm rủi ro trong những nhà văn đặt. Miễn là các nhà văn đưa biên là một thị trường chuyên nghiệp, với lợi thế chi phí giao dịch bán khống, các hợp đồng đặt sẽ đại diện cho một | 334 SHORT SELLING AND MARKET EFFICIENCY Exhibit shows that without taking foreign listings into consideration the percentage of the world market capitalization that is shortable varies between in 1994 and in 1999. When foreign listings are included we find that up to of the world market is shortable as of 2001. The numbers are very similar even if we exclude the . markets from the calculations. In Exhibit we specifically consider the countries where short sales are not allowed or not practiced but where there are firms that list in a . or . market. The exhibit illustrates the changing importance of cross-listings through time. The aggregate percentage of shortable capitalization via depository receipts for all short sales-restricted countries shows a moderate but significant increase from 29 in 1990 to 33 in 2002. However in some countries the shortable capitalization is considerable in Brazil Finland and South Korea more than 50 of the market is shortable via cross-border listings. In Norway more than 30 of the market was shortable even before short sales restrictions were removed in the country in 1996. While clearly the ability to short securities off-exchange will matter to asset pricing on the domestic exchange our interest in this chapter is on the hedging capabilities of the global investor. Exhibit shows the effectiveness of a global equity hedge portfolio over the period 1991 through 2002. It is constructed by regressing a 12-month rolling window of MSCI world equity index returns on our capital-weighted shortable portfolio and alternatively on our shortable and our nonshortable indices. The two lines track the explanatory power of this regression over time. While the model performed pretty well on average explaining between 85 and 95 of market moves there were also clear interruptions in the ability of the cap-weighted portfolios to hedge the MSCI World Index. The fraction of variance associated with tracking .
