Back to the futures: When short selling is banned

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2022-11-01 DOI:10.1016/j.finmar.2022.100735

George J. Jiang , Yoshiki Shimizu , Cuyler Strong

引用次数: 0

Abstract

We examine the effect of single-stock futures (SSFs) trading on the price discovery and market quality of underlying stocks during the 2008 short-selling ban in the United States. We find a significant increase in SSFs trading volume for banned stocks during the ban period. We show that the contribution of SSFs trading to underlying stock price discovery also increased significantly. Moreover, SSFs trading helped mitigate the negative effect of the short-selling ban on market quality. Although SSFs trading in the U.S. still lags other countries, our findings project an increasingly important role for them in the U.S. financial market.

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回到期货：当卖空被禁止时

我们研究了2008年美国卖空禁令期间，单一股票期货交易对基础股票价格发现和市场质量的影响。我们发现，在禁售期内，被禁售股票的SSF交易量显著增加。我们发现，SSF交易对基础股价发现的贡献也显著增加。此外，SSF交易有助于减轻卖空禁令对市场质量的负面影响。尽管美国的SSF交易仍落后于其他国家，但我们的研究结果表明，它们在美国金融市场中的作用越来越重要。

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.