作者：王晓 日期：2020-12-22 04:31:52
2008年9月，当金融市场面临加剧的紧张局势和不确定性时，许多国家开始禁止做空行为。本书使用逐笔交易数据，分析了这些禁令对银行股股价收益和波动性的影响。同时也通过研究买卖价差和交易量的变化，探究了这些禁令对市场流动性的影响。本研究使用了事件分析法，区分平均加权和市值加权，从而比较了受禁令影响的股票和未受禁令影响的股票的表现，后者是对照组。本研究也比较了禁令前、禁令中和禁令后各股票的表现。总体而言，十几年前的证据表明，禁令导致出现了异常收益增多、买卖价差扩大和交易量减少。不过，也有证据表明禁令导致波动性上升。Back to September 2008, when the financial markets faced rising tension and uncertainty, many countries introduced a ban on short selling activity. This book analyses the impact of the bans on banking share price return and volatility in the ban periods by using tick-by-tick data. The study also explores the impact on market liquidity by examining the changes in bid-ask spread and trading volume.2008年9月，当金融市场面临加剧的紧张局势和不确定性时，许多国家开始禁止做空行为。本书使用逐笔交易数据，分析了这些禁令对银行股股价收益和波动性的影响。同时也通过研究买卖价差和交易量的变化，探究了这些禁令对市场流动性的影响。本研究使用了事件分析法，区分平均加权和市值加权，从而比较了受禁令影响的股票和未受禁令影响的股票的表现，后者是对照组。本研究也比较了禁令前、禁令中和禁令后各股票的表现。总体而言，十几年前的证据表明，禁令导致出现了异常收益增多、买卖价差扩大和交易量减少。不过，也有证据表明禁令导致波动性上升。Back to September 2008, when the financial markets faced rising tension and uncertainty, many countries introduced a ban on short selling activity. This book analyses the impact of the bans on banking share price return and volatility in the ban periods by using tick-by-tick data. The study also explores the impact on market liquidity by examining the changes in bid-ask spread and trading volume.An event study method is applied and distinguishes between equal weighted and market value weighted averages, which compares the impact on banned stocks and non-banned stocks identified as control stocks. It also compares performances prior to the ban, during the period of the ban and subsequent to the ban. Overall, the evidence back to a decade, suggests that the bans led to a general increase in abnormal return, widened bid-ask spread and decreased trading volume. However, there is mixed evidence that the bans caused an increase in volatility.