The Market Impact of Grizzlies Short Selling NIO

This article takes the short selling of NIO by Grizzlies as the research object, aiming to analyze the impact of the event on the market. Chinese concept stocks are often targeted by short selling institutions due to financial problems and incomplete information disclosure of some companies. NIO, as a leading enterprise in China's new energy vehicle industry, was accused by Grizzlies of inflating revenue and profitability through related parties, resulting in a significant short-term decline in its US and Hong Kong stock prices, while also affecting the A-share and Hong Kong automotive sectors. Using the event study method, June 28, 2022 was selected as the event date, with 5 trading days before and after the event as the event window, and the first 107 trading days as the estimation window. Quantitative analysis was conducted by calculating abnormal returns and cumulative excess returns. The results showed that NIO's cumulative excess return during the event window period was -3.28%. After the short selling report was released, the stock price fell sharply in the short term, and subsequently followed the rational return of the market and the company's response measures.