The Causal Effects of Short-Selling Bans: Evidence from Eligibility Thresholds
利用香港交易所基于门槛的卖空资格规则，通过断点回归发现卖空禁令显著减少了卖空量，但对股价、波动率和崩盘风险无显著影响，表明禁令无效且成本不高。
We identify the causal effects of short-selling bans on stock prices using regression discontinuity (RD). We exploit three threshold-based rules that determine a stock’s short-selling eligibility on the Hong Kong Stock Exchange. Short-selling bans have a large effect on short-selling volume at all thresholds. Despite this, bans do not affect stock prices. Stock returns, volatility, and crash risk are not different for banned versus unrestricted stocks when appropriate counterfactual stocks are used to measure a ban’s effects. Our findings suggest that short-selling bans are not as costly as previously argued, but are ineffective at reducing volatility or buttressing prices. Received September 13, 2017; editorial decision April 29, 2018 by Editor Jeffrey Pontiff.