Market impacts of the 2020 short selling bans

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2023-11-09 DOI:10.1111/jfir.12355

Alessandro Spolaore, Caroline Le Moign

引用次数: 0

Abstract

At the height of the COVID‐19 related market stress in March 2020, six European countries implemented market‐wide short selling bans. Based on a difference‐in‐difference approach using regulatory data, our estimation finds that the bans are associated with a deterioration in liquidity and trading volumes, and a decrease in volatility, without evidence of price impact. Remarkably, the negative impact persisted after the bans’ lift. Liquidity deterioration appears stronger for liquid shares‐ large‐cap, highly fragmented stocks, and stocks with listed derivatives. Sectoral effects are noticed for the stocks most affected by the market stress. Finally, no displacement effect was observed.This article is protected by copyright. All rights reserved.

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2020年卖空禁令的市场影响

在2020年3月与COVID - 19相关的市场压力达到顶峰时，六个欧洲国家实施了全市场的卖空禁令。基于使用监管数据的差中差方法，我们的估计发现，禁令与流动性和交易量的恶化以及波动性的下降有关，没有证据表明价格受到影响。值得注意的是，禁令解除后，负面影响依然存在。流动性恶化在流动性股票——大市值、高度分散的股票和上市衍生品股票中表现得更为明显。受市场压力影响最大的股票受到了行业效应的影响。最后，没有观察到位移效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.