Estadísticas › Intraday y microestructura de mercado › The 2008 short ban
The 2008 short selling ban worked as intended and made the banned stocks worse to trade
| Medida | Effect | t |
|---|---|---|
| Daily shares sold short | -513,087 | -5.51 |
| Daily number of short sale trades | -1,967 | -7.03 |
| Short sales as a share of volume | -11.78pp | -7.12 |
| Daily dollar volume | -$34.8m | -2.56 |
| Daily number of trades | -1,257 | -4.01 |
| Relative quoted spread | +37bp | 2.11 |
| Relative effective spread | +32bp | 3.01 |
| Five minute relative price impact | +11bp | 2.08 |
| Intraday range | +3.82pp | 4.98 |
Two way fixed effects panel regression estimates for 465 banned financial stocks against 465 matched controls, window 1 August to 31 October 2008. The ban itself ran 19 September to 8 October 2008. Effects are larger in large caps; the smallest market capitalisation quartile shows no significant worsening of market quality.
Short sales in the banned stocks fell 11.78 percentage points as a share of volume. Quoted spreads widened about 37 basis points, effective spreads about 32, and the intraday range rose 3.8 percentage points. The smallest quartile showed no significant worsening.
Solo para miembros
El resto de esta página es para miembros
Por debajo de este punto hay 5 secciones y 1 fuente citada, unas 600 palabras en total. Cada cifra lleva la fuente de la que procede y la fecha a la que corresponden los datos.
Puedes seguir consultando todas las estadísticas de la biblioteca gratis. La introducción y el resumen están siempre abiertos.