Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity
利用2008年卖空禁令，研究发现投资者通过卖空流动性最强的ETF（标普500蜘蛛）来规避禁令，且该ETF成分股的流动性受禁令影响减轻约30%，表明ETF卖空可替代个股卖空，缓解流动性约束。
Abstract We examine short selling of equity exchange traded funds (ETFs) using the 2008 short-sale ban. Contrasting the previously documented contractions in bearish strategies during the ban, we find a significant increase in short sales of the largest, most liquid ETF, the S&P 500 Spider. We offer evidence suggesting that this upsurge was driven primarily by investors circumventing the ban. We show that the ban’s detrimental effect on stock liquidity was around 30% less severe for the Spider’s constituents. Our results suggest that ETF shorts can substitute for short sales of individual stocks, thereby alleviating short-sale constraints’ adverse effect on liquidity.