Abstract
We examine changes in volatility and market quality around the shorting ban during the 2008 global financial crisis in a unique policy environment in Korea. Using intraday quotes and transaction data, we find no evidence that the shorting ban increased volatility or worsened liquidity. While the ban was lifted only for nonfinancial stocks, the patterns of change in volatility and market quality were similar across nonfinancial and financial stocks, suggesting that the changes in volatility and market quality around the shorting ban and its removal were likely to have been driven by changes in overall market conditions rather than the shorting ban itself.
Original language | English |
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Article number | 100504 |
Journal | Journal of Behavioral and Experimental Finance |
Volume | 30 |
DOIs | |
Publication status | Published - 2021 Jun |
Bibliographical note
Funding Information:Eom gratefully acknowledges research support from Hansung University . Hahn acknowledges support from the BK21 FOU R in 2021.
Publisher Copyright:
© 2021 Elsevier B.V.
All Science Journal Classification (ASJC) codes
- Finance