2008年9月，当金融市场面临加剧的紧张局势和不确定性时，许多国家开始禁止做空行为。本书使用逐笔交易数据，分析了这些禁令对银行股股价收益和波动性的影响。同时也通过研究买卖价差和交易量的变化，探究了这些禁令对市场流动性的影响。
來源：香港大書城megBookStore,http://www.megbook.com.hk 本研究使用了事件分析法，区分平均加权和市值加权，从而比较了受禁令影响的股票和未受禁令影响的股票的表现，后者是对照组。本研究也比较了禁令前、禁令中和禁令后各股票的表现。总体而言，十几年前的证据表明，禁令导致出现了异常收益增多、买卖价差扩大和交易量减少。不过，也有证据表明禁令导致波动性上升。
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，当金融市场面临加剧的紧张局势和不确定性时，许多国家开始禁止做空行为。本书使用逐笔交易数据，分析了这些禁令对银行股股价收益和波动性的影响。同时也通过研究买卖价差和交易量的变化，探究了这些禁令对市场流动性的影响。
本研究使用了事件分析法，区分平均加权和市值加权，从而比较了受禁令影响的股票和未受禁令影响的股票的表现，后者是对照组。本研究也比较了禁令前、禁令中和禁令后各股票的表现。总体而言，十几年前的证据表明，禁令导致出现了异常收益增多、买卖价差扩大和交易量减少。不过，也有证据表明禁令导致波动性上升。
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.
關於作者：
王晓，CFA，CPA，金融学博士（后），中国人民银行副研究员，硕士生导师。成功组织G20数字普惠金融工作。主要从事普惠金融、农村金融、精准扶贫和小微企业研究。研究风格融汇中西，结合自身细腻而深刻的体验，将国内外实践用文字形式精彩表达，出版专著《小微之门观中外》，并在国内国外权威期刊上发表多篇学术论文。
Xiao Wang, Ph.D. in Finance, CFA, CPA, is an associated professor working with the Peoples Bank of China. With profound academic and practical experiences in the financial sector, she has served as a master supervisor, successfully organized the G20 session on digital financial inclusion, engaged in the research on financial inclusion, agro-finance, precision poverty alleviation and MSEs, as well as authored The Map to MSEs Finance and a lot of scholarly papers.
目錄：
CONTENTS
PREFACE .................................................................................................... I
CHAPTER 1 INTRODUCTION ..............................................................1
1.1 Background .................................................................. 3
1.2 Motivation of Study and Research Questions ..............4
1.3 Methodology and Approach ........................................ 8
1.4 Overview of Main Results ........................................... 9
1.5 Contributions of Study ...............................................10
1.6 Structure of Study ......................................................12
CHAPTER 2 OVERVIEW OF SHORT SELLING .................................13
2.1 Introduction ...............................................................15
2.2 Short Selling History ..................................................15
2.3 Definition, Types, Practices and Risks of Short Selling...16
2.3.1 Definition ..............................................................16
2.3.2 Types .....................................................................17
2.3.3 Practice ..................................................................18
2.3.4 Risks ......................................................................18
2.4 Positive Arguments for Short Selling .........................19
2.4.1 MarketEfficiency ..................................................19
2.4.2 RevenueEnhancement ..........................................20
2.4.3 MergerArbitrage ...................................................20
2.4.4 ConvertibleArbitrage ...........................................21
2.4.5 PairsTrading .........................................................21
2.4.6 Hedging .................................................................22
2.5 Negative Arguments for Short Selling .......................22
2.6 Short Selling Bans in Global Markets ........................24
2.6.1 ShortSellinginEurope .........................................24
2.6.2 ShortSellinginNorthAmerica ............................27
2.6.3 ShortSellinginAsia ..............................................29
2.6.4 ShortSellingintheUK........................................30
2.6.5 ShortSellinginAustralia ......................................32
2.7 Summary.....................................................................33
CHAPTER 3 LITERATURE REVIEW....................................................35
3.1 Introduction ...............................................................37
3.2 Why Is Short Selling Banned? ....................................37
3.2.1 EffectsonStockPrices ..........................................38
3.2.2 ToCalmtheMarket .............................................42
3.2.3 MarketVolatilityandInstability ..........................43
3.2.4 MarketAbuse,ManipulationandRumourtrage ....45
3.2.5 IncreasesinLoss ....................................................47
3.3 Empirical Evidence of the Impact of Short Selling Bans on Stock Performance ........................................................48
3.3.1 StockAbnormalReturnandVolatility ................48
3.3.2 Pricing ...................................................................51
3.3.3 Bid-AskSpread ......................................................52
3.3.4 TradingVolumeandTurnover .............................54
3.3.5 CostsofShortSellingandRestrictions................56
3.4 Conclusion ..................................................................60
CHAPTER 4 METHODOLOGY ............................................................63
4.1 Introduction ...............................................................65
4.2 Data Preparation ........................................................65
4.3 Measures .....................................................................68
4.3.1 AbnormalReturn..................................................68
4.3.2 Volatility ...............................................................70
4.3.3 Spread ....................................................................71
4.3.4 Volume ..................................................................71
4.4 Testing and Regression Techniques ...........................72
4.5 Conclusion ..................................................................75
CHAPTER 5 EMPIRICAL RESULTS .....................................................77
5.1 Introduction ...............................................................79
5.2 Results Summary ........................................................79
5.3 Abnormal Return .......................................................82
5.4 Volatility .....................................................................91
5.5 Spread .........................................................................98
5.6 Volume .....................................................................103
5.7 Conclusion ................................................................112
CHAPTER 6 CONCLUSIONS ............................................................. 113
6.1 Introduction .............................................................115
6.2 Findings ....................................................................116
6.2.1 Hypothesis1：Bannedstockshavegreaterabnormalreturnwhenshortsellingbansareimposed ..................116
6.2.2 Hypothesis2：Volatilityinbannedstocksdecreaseswhenshortsellingbansareimposed ..............................117
6.2.3
Hypothesis3a：Bannedstockshavewiderspreadwhilebansareimposed .................................................118
Hypothesis3b：Bannedstockshavefewertradingactivitiesaftershortsellingbansareintroduced ......118
6.2.4 Hypothesis4：ThereisnosignificantdifferenceintheperformanceofbankingstocksbetweenWesternmarketsandAsianmarketsduetoshortsellingbans.................119
6.3 Summary of Contributions .......................................119
6.4 Future Research ........................................................122
6.5 Closing Comments ...................................................123
Bibliography ........................................................................................... 124
TABLES ......................................................................................................VI
FIGURES ..................................................................................................VII
APPENDIX A TABLES 4, 5, 6 AND 7 ................................................... 136
APPENDIX B FIGURES 2, 3 AND 4 .................................................... 154
TABLES AND FIGURES
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