The price effect of temporary short-selling bans: Theory and evidence

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-11 DOI:10.1016/j.finmar.2024.100890

Haoshu Tian , Xuemin (Sterling) Yan , Lingling Zheng

引用次数: 0

Abstract

We develop a model of temporary short-selling bans by extending the infinite-horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short-selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short-selling ban in the U.S., we find evidence consistent with the model’s predictions. The innovation of our empirical design is to use the financial segments of non-banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.

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临时卖空禁令的价格效应：理论与证据

我们通过扩展 Scheinkman 和 Xiong（2003 年）的无限视距模型，建立了一个临时卖空禁令模型。我们的模型预测，临时卖空禁令会导致投机泡沫，泡沫在禁令开始时最高，并逐渐趋于零。通过研究 2008 年美国的卖空禁令，我们发现了与模型预测一致的证据。我们实证设计的创新之处在于将非禁售股票的金融板块作为禁售金融股的对照组。我们的结果在不同的检验规范和不同的股票样本中都是稳健的。

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 Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.