卖空禁令的双刃剑

中文摘要 AI 辅助

我们构建了一个理论模型，将监管机构为防止股票价格大幅下跌而实施卖空禁令的决策内生化。在实证方面，我们利用2020年欧洲各国实施的卖空限制的横截面差异来检验模型的预测。与模型一致，我们发现禁令对流动性产生了不利影响，未能支撑平均价格水平，但在限制大幅价格回撤方面是有效的。最后，我们表明禁令的有效性取决于知情股东的比例，这是我们框架中的一个核心变量，从而为设计更有效的监管应对措施提供了信息。

英文摘要

We develop a theoretical model that endogenizes the regulator's decision to impose short-selling bans to prevent large stock price declines. Empirically, we test the model's predictions using the cross-sectional variation in short-selling restrictions implemented across European countries in 2020. Consistent with our model, we find that bans had a detrimental effect on liquidity and failed to support the average price levels, but were effective in limiting large price drawdowns. Finally, we show that the effectiveness of the bans depends on the share of informed stockholders, a central variable in our framework, thus informing the design of more effective regulatory responses.

发表机构

• Imperial College London（帝国理工学院）
• Centre for Economic Policy Research (CEPR)（经济政策研究中心）
• Oxford-Man Institute of Quantitative Finance（牛津-曼定量金融研究所）
• King’s College London（伦敦国王学院）
• University of Cyprus（塞浦路斯大学）

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