Diether, Karl B.
[Verfasser:in]
;
Lee, Kuan-Hui
[Sonstige Person, Familie und Körperschaft];
Werner, Ingrid M.
[Sonstige Person, Familie und Körperschaft]
It's Sho Time! Short-Sale Price-Tests and Market Quality
Erschienen in:Fisher College of Business Working Paper ; No. 2007-03-002
Umfang:
1 Online-Ressource (45 p)
Sprache:
Nicht zu entscheiden
DOI:
10.2139/ssrn.910614
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 14, 2007 erstellt
Beschreibung:
We examine the effects of the SEC mandated temporary suspension of short-sale price-tests for a set of Pilot securities. While short-selling activity increased both for NYSE and NASDAQ-listed Pilot stocks, returns and volatility at the daily level are unaffected. NYSE-listed Pilot stocks experience more symmetric trading patterns and a slight increase in spreads and intraday volatility after the suspension while there is a smaller effect on market quality for NASDAQlisted Pilot stocks. The results suggest that the effect of the price-tests on market quality can largely be attributed to the distortions in order flow created by the price-tests in the first place. Therefore, we believe that the price-tests can safely be permanently suspended