This paper aims at providing insight into some of the implication of short selling for markets, investors as well as regulators. Findings show that capital flows are adversely affected by strict regulation and bans of short sales, while market liquidity, and bid-ask spread can be improved by allowing short selling. Additionally portfolios that incorporate short selling strategies can have lower volatility in returns. The informational content of short sales can provide important feedback for informed investors and lead to better price discovery.