TY  - UNPD
A1  - Fohlin, Caroline
A1  - Lu, Zhikun
A1  - Zhou, Nan
T1  - Short sale bans may improve market quality during crises: new evidence from the 2020 Covid crash
T2  - SAFE working paper ; No. 365
N2  - In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential impacts of bans on stock liquidity, prices, and volatility. Results suggest that bans improved liquidity and stabilized prices for illiquid stocks but temporarily diminished liquidity for highly liquid stocks.The findings support theories in which short sale bans may improve liquidity by selectively filtering out informed— potentially predatory—traders. Thus, policies that target the most illiquid stocks may deliver better overall market quality than uniform short sale bans imposed on all stocks.
T3  - SAFE working paper - 365 
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/69107
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-691078
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4288587
PB  - SAFE
CY  - Frankfurt am Main
ER  -