Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/86925 
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 10-106/2/DSF 1
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
Most stock exchange regulators around the world reacted to the 2007-2009 crisis byimposing bans or regulatory constraints on short-selling. Short-selling restrictions wereimposed and lifted at different dates in different countries, often applied to different sets ofstocks and featured different degrees of stringency. We exploit this considerable variationin short-sales regimes to identify their effects with panel data techniques, and find that bans(i) were detrimental for liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price discovery, especially in bearmarket phases, and (iii) failed to support stock prices, except possibly for U.S. financialstocks.
Subjects: 
short selling
ban
crisis
liquidity
price discovery
JEL: 
G01
G12
G14
G18
Document Type: 
Working Paper

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