2008 年卖空禁令对尾部风险的影响

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-08-20 DOI:10.1016/j.jempfin.2024.101532

Jonas Bartl , Denefa Bostandzic , Felix Irresberger , Gregor Weiß , Ruomei Yang

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引用次数: 0

摘要

我们研究了 2008 年美国对金融机构股票的卖空禁令是如何影响其股票尾部风险的。通过倾向得分匹配和差分回归，我们发现该禁令并没有有效恢复金融稳定性（以股票的动态边际预期缺口衡量）。相反，尤其是大型机构，这些在禁令实施前最容易受到市场下滑影响的机构，以及那些与看跌期权合约相关的股票，在禁令实施期间受到市场下滑影响的风险急剧增加，这与监管机构的初衷背道而驰。

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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The 2008 short-selling ban’s impact on tail risk

We examine how the 2008 U.S. short-selling ban on the stocks of financial institutions impacted their equity tail risk. Using propensity score matching and difference-in-difference regressions, we show that the ban was not effective in restoring financial stability as measured by the stocks’ dynamic Marginal Expected Shortfall. In contrast, especially large institutions, those who were most vulnerable to market downturns in the preban period, as well as those equities with associated put option contracts, experienced sharp increases in their exposure to market downturns during the ban period, contrary to regulators’ intentions.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.