Short‐Selling Bans Around the World: Evidence from the 2007–09 Crisis
研究了2007-09年危机期间各国卖空禁令对市场的影响，发现禁令损害了流动性、减缓了价格发现，且未能支撑股价，仅对美国金融股可能例外。
ABSTRACT Most regulators around the world reacted to the 2007–09 crisis by imposing bans on short selling. These were imposed and lifted at different dates in different countries, often targeted different sets of stocks, and featured varying degrees of stringency. We exploit this variation in short‐sales regimes to identify their effects on liquidity, price discovery, and stock prices. Using panel and matching techniques, we find that bans (i) were detrimental for liquidity, especially for stocks with small capitalization and no listed options; (ii) slowed price discovery, especially in bear markets, and (iii) failed to support prices, except possibly for U.S. financial stocks.