Effects of the short sale circuit breaker on the stock market

Autor:	Heng Yue, Lorne N. Switzer
Rok vydání:	2019
Předmět:	050208 finance Financial economics 05 social sciences Market efficiency Market liquidity Accounting Market quality 0502 economics and business Business Management and Accounting (miscellaneous) Stock market Business 050207 economics Volatility (finance) Finance Circuit breaker
Zdroj:	Journal of International Financial Management & Accounting. 30:250-274
ISSN:	1467-646X 0954-1314
DOI:	10.1111/jifm.12105
Popis:	We examine the benefits and costs of the short sale circuit breaker (Rule 201) for NYSE and Nasdaq stocks. Not only that the circuit breaker failed to reduce intraday volatility and intraday price decline in the market, evidence suggests that it worsens the event day return and price decline for the most volatile stocks. Market quality in terms of liquidity and fair pricing are unaffected. However, informational efficiency after large price movements is considerably improved by the short sale circuit breaker. Evidence also suggests that triggering the circuit breaker is not a small-cap phenomenon.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5401d304d587e9ce97409f37f893a28d https://doi.org/10.1111/jifm.12105 Zobrazit plný text záznamu