The price effect of temporary short-selling bans: Theory and evidence

被引：0
|
作者：
Tian, Haoshu [1 ]
Yan, Xuemin [2 ]
Zheng, Lingling [1 ,3 ]
机构：
[1] Renmin Univ China, Renmin, Peoples R China
[2] Lehigh Univ, Coll Business, Lehigh, PA USA
[3] Renmin Univ China, Sch Business, 59 Zhongguancun St, Beijing, Peoples R China
来源：
JOURNAL OF FINANCIAL MARKETS | 2024年 / 69卷
基金：
中国国家自然科学基金;
关键词：
Speculative bubble; Short-selling ban; SHORT SELLERS; DISAGREEMENT; CONSTRAINTS; UNCERTAINTY; OWNERSHIP; BREADTH; OPINION; RISK;
D O I：
10.1016/j.finmar.2024.100890
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a model of temporary short -selling bans by extending the infinite -horizon model of Scheinkman and Xiong (2003). Our model predicts that a temporary short -selling ban leads to a speculative bubble that is the highest at the beginning of the ban and gradually converges to zero. Examining the 2008 short -selling ban in the U.S., we find evidence consistent with the model's predictions. The innovation of our empirical design is to use the financial segments of non -banned stocks as a control group for the banned financial stocks. Our results are robust across different test specifications and different samples of stocks.
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页数：19
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