{"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":47584,"journal":{"name":"Journal of Financial Research","volume":null,"pages":null},"PeriodicalIF":1.5000,"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\":47584,\"journal\":{\"name\":\"Journal of Financial Research\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-11-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/jfir.12355\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/jfir.12355","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
期刊介绍：
The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.
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