Short Selling ADRs and Foreign Market Short-Sale Constraints

2010 ◽  
Author(s):  
Benjamin M. Blau ◽  
Richard S. Warr ◽  
Robert A. Van Ness
Keyword(s):  
Foreign Market ◽  
Short Selling ◽  
Short Sale Constraints ◽  
Short Sale

Short selling of ADRs and foreign market short-sale constraints

2012 ◽  
Vol 36 (3) ◽  
pp. 886-897 ◽  
Author(s):  
Benjamin M. Blau ◽  
Robert A. Van Ness ◽  
Richard S. Warr
Keyword(s):  
Foreign Market ◽  
Short Selling ◽  
Short Sale Constraints ◽  
Short Sale

scholarly journals The Short Selling Regulation in the EU: Assessing the Authorization Granted for ESMA to Prohibit Short Selling

2017 ◽  
Vol 6 (1) ◽  
pp. 5
Author(s):  
Matias Huhtilainen
Keyword(s):  
European Union ◽  
Repeated Measures ◽  
Price Volatility ◽  
Short Selling ◽  
The European Union ◽  
Difference In Differences ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Disclosure Requirements ◽  
The Difference

The paper discusses the renewed short selling regulation (Regulation (EU) No 236/2012) in the European Union. The focus is on the provisions that deal with prohibiting short selling in exceptional market circumstances. The Regulation further enforces certain obligations to report and disclose short positions. It is concluded that banning short selling is not an effective tool to contain extreme price volatility. The difference-in-differences regression and repeated measures GLM were used to test whether short selling bans were successful in containing volatility of those Spanish and Italian stocks that were subject to two back-to-back prohibitions during the years 2011-2013. The results are consistent with the majority of previous research, suggesting that the effectiveness of short sale constraints in reducing volatility is limited at best. Furthermore, there are evidence of counterproductive effects: constraints on short selling may actually increase volatility as well as deteriorate liquidity. However, based on theory and previous studies, reporting and disclosure requirements shall be favored provided they improve market efficiency as well as supervisory work of regulatory bodies.This paper discusses the renewed short selling regulation (Regulation (EU) No 236/2012) in the European Union. The focus is on the provisions that deal with prohibiting short selling in exceptional market circumstances. The Regulation further enforces certain obligations to report and disclose short positions. It is concluded that banning short selling is not an effective tool to contain extreme price volatility. The difference-in-differences regression and repeated measures GLM were used to test whether short selling bans were successful in containing volatility of those Spanish and Italian stocks that were subject to two back-to-back prohibitions during the years 2011-2013. The results are consistent with the majority of previous research, suggesting that the effectiveness of short sale constraints in reducing volatility is limited at best. Furthermore, there are evidence of counterproductive effects: constraints on short selling may actually increase volatility as well as deteriorate liquidity. However, based on theory and previous studies, reporting and disclosure requirements shall be favored provided they improve market efficiency as well as supervisory work of regulatory bodies. <w:LsdException Locked="fal

Short-Sale Constraints and Options Trading: Evidence from Reg SHO

2019 ◽  
Vol 55 (5) ◽  
pp. 1555-1579 ◽  
Author(s):  
Yi-Wen Chen ◽  
Sheng-Syan Chen ◽  
Robin K. Chou
Keyword(s):  
Short Selling ◽  
Option Prices ◽  
Options Market ◽  
Sale Price ◽  
Option Trading ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Put Option ◽  
Options Trading ◽  
Option Volume

We examine the effects of a temporary suspension of short-sale price tests on the options market. Consistent with the notion that put option trading substitutes for short selling, we find a significant reduction in put option volume. In addition, pressure on put option prices significantly declines, violations of the put-call parity become significantly less frequent, and option volume becomes less informed. Our findings add clarity to a long-standing debate on whether investors use options to circumvent equity short-selling restrictions.

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