The claimed invention concerns a holding device for application of a sealing member (21) on a shaft (23). The holding device (22) includes a connecting mechanism (26, 27) adapted to connect the sealing member (21) on the shaft (23). The connecting mechanism includes an annular body (24) that comprises an inner surface (24a) which, in an axial direction, is arranged at gradually decreasing radial distance from the shaft (23). The connecting mechanism comprises at least a clamping element (26) arranged in a space between the inner surface (24a) of the annular body and the shaft (23), and a displacement mechanism (27) adapted to displace the clamping member in said axial direction relative to the annular body (24) to a position in which the inner surface (24a) of the annular body presses the clamping element to the shaft. The claimed invention also relates to a mechanical sealing device including such a holding device and a hydrodynamic machine having such a mechanical sealing device for applying a sealing member on a shaft.