Short-sales constraints and market quality: Evidence from the 2008 short-sales bans

被引：29

作者：

Frino, Alex ^{[1
]}

Lecce, Steven ^{[1
]}

Lepone, Andrew ^{[1
]}

机构：

[1] Univ Sydney, Sch Business, Finance Discipline, Sydney, NSW 2006, Australia

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2011年 / 20卷 / 04期

关键词：

Short-sale constraints; Short-selling; STOCK RETURNS; PRICE TESTS; RESTRICTIONS; OWNERSHIP; BUBBLES; OPINION; RISK;

D O I：

10.1016/j.irfa.2011.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using data from fourteen equity markets, this study empirically examines the impact of the 2008 short-selling bans on market quality. Evidence indicates that restrictions on short-selling lead to artificially inflated prices, indicated by positive abnormal returns. This is consistent with Miller's (1977) overvaluation theory, and suggests that the bans are effective in temporarily stabilizing prices in struggling financial stocks. Market quality is reduced during the restrictions, as evidenced by wider bid-ask spreads, increased price volatility and reduced trading activity. While these effects are strong, regulators may view the deterioration in market quality as a necessary by-product of the bans to maintain prices and protect investors. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：225 / 236

页数：12