Stats › Intraday et microstructure de marché › The 2008 short ban
The 2008 short selling ban worked as intended and made the banned stocks worse to trade
| Mesure | 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.
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