Stabilizing the market with short sale constraint? New evidence from price jump activities

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105004

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105004

Title:	Stabilizing the market with short sale constraint? New evidence from price jump activities
Authors:	葉錦徽;Yeh, Jin-Huei;Chen, Lien-Chuan
Contributors:	管理學院財務金融學系
Keywords:	Causality;Efficient markets;Jump intensity;Jump size;Liquidity;Market stabilization;Price stabilization;Put-call-parity;Short sale constraint;Short sales;Studies
Date:	2014-01-01
Issue Date:	2026-04-23 12:03:35 (UTC+8)
Publisher:	Elsevier BV;San Diego: Elsevier Inc
Abstract:	摘要： •We examine the impact of short-sale constraints (SSC) on market stabilization.•We avoid the issue of reverse causality by exploring the realized jump activities.•We devise an equilibrium measure to proxy for the strength of limit to short sell.•Restraining SSC helps little in stabilization but increases the downside risks. We re-examine the impact of short-sale constraints (SSC) on market stabilization via realized jump activities during 2002–2009 to circumvent the reverse causality in identifying the policy effects of SSC. We observed that the abnormal downturns under tighter short sale constraints are significantly larger whereas there is no difference for abnormal upturns. Our empirical results survive across a sequence of robustness examinations controlled for market illiquidity. The findings do not support the claims by regulators that restraining short-sales can stabilize prices; instead, SSC has led to a less efficient market with stronger extreme downward returns. 出版者： San Diego: Elsevier Inc 出版日期： 2014-09-01 出處： Finance research letters, 2014-09, Vol.11 (3), p.238-246 版權： 2014 Elsevier Inc. 版權： Copyright Academic Press Sep 2014 識別號： ISSN: 1544-6123 識別號： EISSN: 1544-6131 識別號： DOI: 10.1016/j.frl.2014.02.005
Appears in Collections:	[Department of Finance] journal & Dissertation

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