The Impact of the 2011 Short‐Sale Ban on Financial Stability: Evidence from the Spanish Stock Market
研究了2011年西班牙股市卖空禁令对金融部门风险水平的影响，发现禁令降低了银行机构的风险，尤其是那些卖空活动较多的银行，但也导致非金融企业卖空风险上升。
ABSTRACT We examine the effect of the 2011 short‐selling ban on Spanish stocks on the financial sector's risk level. Before the ban, short positions were positive and significantly related to several indicators of bank default risk. Subsequently, the ban moderated the risk of banking institutions, especially those more exposed to short‐seller activity, which, on average, showed higher levels of maturity mismatch, uncertainty about their fundamentals, and exposure to sovereign risk. The ban also caused a side effect on non‐financial firms, since it led to an increase in their exposure to short sales, reflecting the existence of a common aggregate risk factor.