It's SHO Time! Short-Sale Price Tests and Market Quality

被引：214

作者：

Diether, Karl B. ^{[1
]}

Lee, Kuan-Hui ^{[2
,3
,4
]}

Werner, Ingrid M. ^{[1
]}

机构：

[1] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA

[2] Rutgers Business Sch, Newark, NJ USA

[3] Rutgers Business Sch, New Brunswick, NJ USA

[4] Korea Univ, Sch Business, Seoul, South Korea

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 01期

关键词：

SPECULATIVE INVESTOR BEHAVIOR; STOCK RETURNS; CONSTRAINTS; OPTIONS;

D O I：

10.1111/j.1540-6261.2008.01428.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：37 / 73

页数：37

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