Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban

• 成果类型: Article
• 署名作者: Grundy, Bruce D.; Lim, Bryan; Verwijmeren, Patrick
• 署名单位: Vrije Universiteit Amsterdam; University of Melbourne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.013
• 发表日期: 2012
• 页码: 331-348
• 关键词: Short-sale restrictions; OPTION MARKETS; Spread relative to optionality; Put-call parity

摘要

The effectiveness of any sanction depends on the costs of avoiding its restrictions. We examine whether bearish option strategies were substitutes for short sales during the September 2008 short-sale ban. We find a significant diminution in option volumes and a significant increase in option bid-ask spreads for banned stock relative to unbanned stock during the ban period. Apparent violations of the put-call parity bound became significantly more frequent for banned stocks during the ban period. We conclude that the ban acted as an effective restriction on trading in options. (C) 2012 Elsevier B.V. All rights reserved.