2020年卖空禁令的市场影响

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-11-09 DOI:10.1111/jfir.12355

Alessandro Spolaore, Caroline Le Moign

{"title":"2020年卖空禁令的市场影响","authors":"Alessandro Spolaore, Caroline Le Moign","doi":"10.1111/jfir.12355","DOIUrl":null,"url":null,"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.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":" 5","pages":"0"},"PeriodicalIF":16.4000,"publicationDate":"2023-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Market impacts of the 2020 short selling bans\",\"authors\":\"Alessandro Spolaore, Caroline Le Moign\",\"doi\":\"10.1111/jfir.12355\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":1,\"journal\":{\"name\":\"Accounts of Chemical Research\",\"volume\":\" 5\",\"pages\":\"0\"},\"PeriodicalIF\":16.4000,\"publicationDate\":\"2023-11-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounts of Chemical Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/jfir.12355\",\"RegionNum\":1,\"RegionCategory\":\"化学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"CHEMISTRY, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/jfir.12355","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}

引用次数: 0

摘要

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。

查看原文本刊更多论文

Market impacts of the 2020 short selling bans

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.