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

• 成果类型: Article
• 署名作者: Diether, Karl B.; Lee, Kuan-Hui; Werner, Ingrid M.
• 署名单位: University System of Ohio; Ohio State University; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; Rutgers University System; Rutgers University New Brunswick; Korea University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01428.x
• 发表日期: 2009
• 页码: 37-73
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; stock returns; constraints; options

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.