Are Short-Selling Restrictions Effective?

• 成果类型: Article
• 署名作者: Barardehi, Yashar; Bird, Andrew; Karolyi, Stephen; Ruchti, Thomas
• 署名单位: Chapman University System; Chapman University; United States Department of the Treasury; Office of the Comptroller of the Currency; United States Department of the Treasury; Office of Financial Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.4987
• 发表日期: 2025
• 关键词: Short selling; uptick rule; Securities regulation; rule 201; short selling restrictions

摘要

Despite strong theoretical predictions based on disagreement, limited empirical evidence links short-selling restrictions to higher prices. We test this relationship using quasi-experimental methods based on rule 201, a threshold-based policy that restricts aggressive short selling when intraday returns cross -10%. When comparing stocks on either side of the threshold in the same hour of trading, we find that the restriction leads to 8% lower short-sale volume and 35 basis points higher daily returns. These price effects do not reverse after the restriction is lifted.