The impact of the short-selling ban on stock performance: evidence from British stock market

• Main Authors: Chen ,Yi-Chieh, 陳怡潔
• Other Authors: Chang, Yuan-chen
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/02207463747386802288

碩士 === 國立政治大學 === 財務管理研究所 === 97 === UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries. We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.