The debate among various market partic-ipants on the short-selling of securities continues today. Opponents of short-selling argue that it disrupts orderly mar-kets by causing panic selling, high vola-tility, and market crashes. So this paper investigates what the impact of short sell-ing on the volatility and liquidity of Hong Kong stock market is, and the results in-dicate 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 double direc-tional causality relationship between short selling volumes and market liquidity.
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