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Effects of the short sale circuit breaker on the stock market
Journal of International Financial Management & Accounting ( IF 2.808 ) Pub Date : 2019-07-03 , DOI: 10.1111/jifm.12105
Lorne N. Switzer 1 , Heng Yue 1
Affiliation  

We provide new evidence on the effects of the recently introduced short sale circuit breaker, Rule 201, which triggers when the price of a stock drops more than 10 percent in a single day. The regulatory presumption is that the trigger should damper intraday price declines for affected stocks. However, our evidence suggests that this is not the case. The circuit breaker fails to reduce intraday volatility and intraday price declines, especially for the most volatile stocks in the market. Market quality measures based on liquidity and pricing efficiency are largely unaffected. Higher dispersion of investor opinion increases overpricing when the circuit breaker is in force. Price stabilization after stocks trigger the circuit breaker is shown for stocks that experience substantial price declines. Finally, post‐shock drift reduction is consistent with improved informational efficiency.

中文翻译:

卖空断路器对股票市场的影响

我们提供了有关最近推出的卖空断路器(规则201)的影响的新证据,该规则在股票价格一天之内下跌超过10%时触发。监管上的假设是,触发因素应能抑制受影响股票的盘中价格下跌。但是,我们的证据表明事实并非如此。断路器无法减少盘中波动和盘中价格下跌,尤其是对于市场中波动最大的股票而言。基于流动性和定价效率的市场质量指标在很大程度上不受影响。当断路器生效时,投资者意见的高度分散会导致定价过高。库存触发价格后的价格稳定显示了价格大幅下跌的股票。最后,
更新日期:2019-07-03
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