Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
AbstractMost stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured different degrees of stringency. We exploit this considerable variation in 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 bear market phases, and (iii) failed to support stock prices, except possibly for U.S. financial stocks.
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Bibliographic InfoPaper provided by Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy in its series CSEF Working Papers with number 241.
Date of creation: 06 May 2009
Date of revision: 03 Sep 2011
Publication status: published in the Journal of Finance, 2013, vol. 68, n.1, pp. 343-381.
short selling; ban; crisis; liquidity; price discovery.;
Other versions of this item:
- Alessandro Beber & Marco Pagano, 2013. "Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis," Journal of Finance, American Finance Association, vol. 68(1), pages 343-381, 02.
- Beber, Alessandro & Pagano, Marco, 2009. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," CEPR Discussion Papers 7557, C.E.P.R. Discussion Papers.
- Alessandro Beber & Marco Pagano, 2010. "Short-Selling Bans around the World: Evidence from the 2007-09 Crisis," Tinbergen Institute Discussion Papers 10-106/2/DSF 1, Tinbergen Institute.
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-14 (All new papers)
- NEP-MST-2009-11-14 (Market Microstructure)
- NEP-REG-2009-11-14 (Regulation)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Interesting readings
by Ajay Shah in Ajay Shah's blog on 2009-11-20 20:47:00
- Interesting Readings for November 23, 2009
by Ajay Shah in Citizen Economists on 2009-11-23 15:32:02
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