Market impacts of the 2020 short selling bans
研究了2020年3月六个欧洲国家实施全面卖空禁令的影响，发现禁令导致流动性和交易量下降、波动性降低，且负面影响在解除后持续，但对价格无显著影响。
Abstract At the height of the COVID‐19 related market stress in March 2020, six European countries implemented market‐wide short selling bans. Based on a difference‐in‐difference approach using regulatory data, our estimation finds that the bans are associated with a deterioration in liquidity and trading volumes, and a decrease in volatility, without evidence of price impact. Remarkably, the negative impact persisted after the bans' lift. Liquidity deterioration appears stronger for liquid shares‐ large‐cap, highly fragmented stocks, and stocks with listed derivatives. Sectoral effects are noticed for the stocks most affected by the market stress. Finally, no displacement effect was observed.