Template-type: ReDIF-Article 1.0
Author-Name: Aleksey Kipriyanov
Author-Email: akipriyanov@hse.ru
Author-Workplace-Name: International College of Economics and Finance, HSE University
Title: Short Sale Ban as Protection from Market Crash: Evidence from the European Union
Abstract: Europe was divided in the spring of 2020: one part introduced a ban on short sales, while the other did not. Applying difference-in-difference methodology, I use this natural experiment to show that the imposition of the short sale ban positively affected stock returns in the countries in question, but that it was detrimental to market volume and liquidity, with no effect on volatility. Placebo tests confirm the validity of the results. The removal of the short sale ban led to a positive effect on returns in the countries where the ban was lifted, volume decreased, and liquidity and volatility improved.
Classification-JEL: G01, G18, K22, C21, C23
Keywords: equity markets, COVID-19 pandemic, short-selling bans, difference-in-difference
Journal: Russian Journal of Money and Finance
Pages: 78-105
Volume: 82
Issue: 2
Year: 2023
Month: June
DOI:
File-URL: https://rjmf.econs.online/upload/iblock/30c/Short-Sale-Ban-as-Protection-from-Market-Crash-Evidence-from-the-European-Union.pdf
Handle: RePEc:bkr:journl:v:82:y:2023:i:2:p:78-105