Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86925
Authors: 
Beber, Alessandro
Pagano, Marco
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-106/2/DSF 1
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

Files in This Item:
File
Size
374.2 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.