2008年9月，當金融市場面臨加劇的緊張局勢和不確定性時，許多國家開始禁止做空行為。本書使用逐筆交易數(shù)據(jù)，分析了這些禁令對銀行股股價收益和波動性的影響。同時也通過研究買賣價差和交易量的變化，探究了這些禁令對市場流動性的影響。本研究使用了事件分析法，區(qū)分平均加權(quán)和市值加權(quán)，從而比較了受禁令影響的股票和未受禁令影響的股票的表現(xiàn)，后者是對照組。本研究也比較了禁令前、禁令中和禁令后各股票的表現(xiàn)�？傮w而言，十幾年前的證據(jù)表明，禁令導(dǎo)致出現(xiàn)了異常收益增多、買賣價差擴大和交易量減少。不過，也有證據(jù)表明禁令導(dǎo)致波動性上升。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，當金融市場面臨加劇的緊張局勢和不確定性時，許多國家開始禁止做空行為。本書使用逐筆交易數(shù)據(jù)，分析了這些禁令對銀行股股價收益和波動性的影響。同時也通過研究買賣價差和交易量的變化，探究了這些禁令對市場流動性的影響。本研究使用了事件分析法，區(qū)分平均加權(quán)和市值加權(quán)，從而比較了受禁令影響的股票和未受禁令影響的股票的表現(xiàn)，后者是對照組。本研究也比較了禁令前、禁令中和禁令后各股票的表現(xiàn)�？傮w而言，十幾年前的證據(jù)表明，禁令導(dǎo)致出現(xiàn)了異常收益增多、買賣價差擴大和交易量減少。不過，也有證據(jù)表明禁令導(dǎo)致波動性上升。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.
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