It's SHO Time! Short‐Sale Price Tests and Market Quality
研究美国证监会强制暂停一组试点股票的卖空价格测试的影响，发现卖空活动增加但日度收益和波动率不变，对纽交所和纳斯达克股票的市场质量影响不同。
ABSTRACT We examine the effects of the Securities and Exchange Commission (SEC)‐mandated temporary suspension of short‐sale price tests for a set of Pilot securities. While short‐selling activity increases both for NYSE‐ and Nasdaq‐listed Pilot stocks, returns and volatility at the daily level are unaffected. NYSE‐listed Pilot stocks experience more symmetric trading patterns and a slight increase in spreads and intraday volatility after the suspension while there is a smaller effect on market quality for Nasdaq‐listed Pilot stocks. The results suggest that the effect of the price tests on market quality can largely be attributed to distortions in order flow created by the price tests themselves.