Market reactions to changes in the Regulated Short-Selling (RSS) list: Evidence from Bursa Malaysia

Abstract

This study examines market reactions to changes in Malaysia’s Regulated Short-Selling (RSS) list, with a focus on stock inclusions and exclusions. Analysing market performance around implementation dates, the findings reveal that inclusion in the RSS list leads to notable declines in post-event returns, emphasizing the role of short-selling in price correction. Conversely, exclusions result in muted responses, indicating a limited impact on market behaviour. These results underscore the importance of short-selling in supporting market efficiency and challenge the necessity of overly restrictive regulations. The study provides meaningful insights for policymakers and investors navigating short-selling frameworks in emerging markets.