SHORT SELLING BANS:REFLECTION ON BANKING SHARES 本书特色

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.

SHORT SELLING BANS:REFLECTION ON BANKING SHARES 目录

CONTENTS PREFACE .................................................................................................... I CHAPTER 1 INTRODUCTION ..............................................................1 1.1 Background .................................................................. 3 1.2 Motivation of Study and Research Questions ..............4 1.3 Methodology and Approach ........................................ 8 1.4 Overview of Main Results ........................................... 9 1.5 Contributions of Study ...............................................10 1.6 Structure of Study ......................................................12 CHAPTER 2 OVERVIEW OF SHORT SELLING .................................13 2.1 Introduction ...............................................................15 2.2 Short Selling History ..................................................15 2.3 Definition, Types, Practices and Risks of Short Selling...16 2.3.1 Definition ..............................................................16 2.3.2 Types .....................................................................17 2.3.3 Practice ..................................................................18 2.3.4 Risks ......................................................................18 2.4 Positive Arguments for Short Selling .........................19 2.4.1 Market Efficiency ..................................................19 2.4.2 Revenue Enhancement ..........................................20 2.4.3 Merger Arbitrage ...................................................20 2.4.4 Convertible Arbitrage ...........................................21 2.4.5 Pairs Trading .........................................................21 2.4.6 Hedging .................................................................22 2.5 Negative Arguments for Short Selling .......................22 2.6 Short Selling Bans in Global Markets ........................24 2.6.1 Short Selling in Europe .........................................24 2.6.2 Short Selling in North America ............................27 2.6.3 Short Selling in Asia ..............................................29 2.6.4 Short Selling in the UK ........................................30 2.6.5 Short Selling in Australia ......................................32 2.7 Summary.....................................................................33 CHAPTER 3 LITERATURE REVIEW....................................................35 3.1 Introduction ...............................................................37 3.2 Why Is Short Selling Banned? ....................................37 3.2.1 Effects on Stock Prices ..........................................38 3.2.2 To Calm the Market .............................................42 3.2.3 Market Volatility and Instability ..........................43 3.2.4 Market Abuse, Manipulation and “Rumourtrage” ....45 3.2.5 Increases in Loss ....................................................47 3.3 Empirical Evidence of the Impact of Short Selling Bans on Stock Performance ........................................................48 3.3.1 Stock Abnormal Return and Volatility ................48 3.3.2 Pricing ...................................................................51 3.3.3 Bid-Ask Spread ......................................................52 3.3.4 Trading Volume and Turnover .............................54 3.3.5 Costs of Short Selling and Restrictions ................56 3.4 Conclusion ..................................................................60 CHAPTER 4 METHODOLOGY ............................................................63 4.1 Introduction ...............................................................65 4.2 Data Preparation ........................................................65 4.3 Measures .....................................................................68 4.3.1 Abnormal Return..................................................68 4.3.2 Volatility ...............................................................70 4.3.3 Spread ....................................................................71 4.3.4 Volume ..................................................................71 4.4 Testing and Regression Techniques ...........................72 4.5 Conclusion ..................................................................75 CHAPTER 5 EMPIRICAL RESULTS .....................................................77 5.1 Introduction ...............................................................79 5.2 Results Summary ........................................................79 5.3 Abnormal Return .......................................................82 5.4 Volatility .....................................................................91 5.5 Spread .........................................................................98 5.6 Volume .....................................................................103 5.7 Conclusion ................................................................112 CHAPTER 6 CONCLUSIONS ............................................................. 113 6.1 Introduction .............................................................115 6.2 Findings ....................................................................116 6.2.1 Hypothesis 1: Banned stocks have greater abnormal return when short selling bans are imposed ..................116 6.2.2 Hypothesis 2: Volatility in banned stocks decreases when short selling bans are imposed ..............................117 6.2.3 Hypothesis 3a: Banned stocks have wider spread while bans are imposed .................................................118 Hypothesis 3b: Banned stocks have fewer trading activities after short selling bans are introduced ......118 6.2.4 Hypothesis 4: There is no significant difference in the performance of banking stocks between Western markets and Asian markets due to short selling bans .................119 6.3 Summary of Contributions .......................................119 6.4 Future Research ........................................................122 6.5 Closing Comments ...................................................123 Bibliography ........................................................................................... 124 TABLES ......................................................................................................VI FIGURES ..................................................................................................VII APPENDIX A TABLES 4, 5, 6 AND 7 ................................................... 136 APPENDIX B FIGURES 2, 3 AND 4 .................................................... 154 TABLES AND FIGURES

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