The Double-Edged Sword of Short-Selling Bans

2026-09-08

AI Summary

研究通过理论模型和实证分析探讨了卖空禁令对股市流动性及价格水平的影响，发现其能限制大幅价格下跌但损害流动性，并指出知情股东比例是关键因素。

Abstract

We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines. Empirically, we test the model's predictions using the cross-sectional variation in short-selling restrictions implemented across European countries in 2020. Consistent with our model, we find that bans had a detrimental effect on liquidity and failed to support the average price levels, but were effective in limiting large price drawdowns. Finally, we show that the effectiveness of the bans depends on the share of informed stockholders, a central variable in our framework, thus informing the design of more effective regulatory responses.

Problem

• short-selling bans
• stock price declines
• liquidity
• price levels

Innovation

• short-selling bans
• liquidity
• price drawdowns
• informed stockholders