Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2010-10-19
Number: 10-106/2/DSF 1
Author-Name: Alessandro Beber
Author-Workplace-Name: University of Amsterdam
Author-Name: Marco Pagano
Author-Workplace-Name: Universita di Napoli Federico II, CSEF, EIEF and CEPR
Title: Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
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.
Classification-JEL: G01, G12, G14, G18
Keywords: short selling, ban, crisis, liquidity, price discovery
File-Url: https://papers.tinbergen.nl/10106.pdf
File-Format: application/pdf
File-Size: 383177 bytes
Handle: RePEc:tin:wpaper:20100106