Purpose

This paper aims to investigate the implementation of the short selling ban policy imposed by the Italian stock exchange on health-care stock prices, as a tool to mitigate COVID-19 price effects. Important contributions are in terms of assessing the effect of the temporary short selling ban on restricted health-care stocks; the effect of COVID-19 cases and crude oil price volatility onto health-care stocks; and whether COVID-19 resulted in a change in the risk and average stock price of health-care stocks.

Design/methodology/approach

The methodology involves impulse responses to capture the shock of the short selling ban onto health-care stocks, and Markov switching regimes to capture the effect of COVID-19 onto the risk and prices in the health-care industry. Daily data from 9 November 2018 till 23 December 2020 is used.

Findings

Findings suggest there were significant changes in average prices in health-care technology and health-care services stocks before, during and after the short selling ban. Shocks to the number of COVID-19 cases and crude oil price volatility impacted health-care stocks but lasted only for a few days. While daily changes in the number of COVID-19 cases impacted some health-care stocks in the presence of a two-state Markov regime, insignificant coefficients and relatively low duration suggest that the short selling policy did not significantly change the average price and risk in health-care stocks to explain a two-state regime in the health-care industry.

Research limitations/implications

Insignificant coefficients in a two-state Markov regime reinforce that short-selling policies have a short-lasting effect onto health-care equity prices. The findings are limited by the duration of the short selling policy, the pandemic event and the health-care industry.

Originality/value

This is the first study to look at the impact of early COVID-19 and short selling ban policy on health-care stocks.

中文翻译：

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对医疗保健股票价格的早期 COVID-19 政策回应

目的

本文旨在调查意大利证券交易所对医疗保健股票价格实施的卖空禁令政策的实施情况，作为减轻 COVID-19 价格影响的工具。重要贡献在于评估临时卖空禁令对受限医疗保健股的影响；COVID-19 病例和原油价格波动对医疗保健股的影响；以及 COVID-19 是否导致医疗保健股的风险和平均股价发生变化。

设计/方法/方法

该方法涉及脉冲响应以捕捉卖空禁令对医疗保健股票的冲击，以及马尔可夫转换机制以捕捉 COVID-19 对医疗保健行业风险和价格的影响。使用了从 2018 年 11 月 9 日到 2020 年 12 月 23 日的每日数据。

发现

调查结果表明，在卖空禁令之前、期间和之后，医疗技术和医疗服务股票的平均价格发生了显着变化。对 COVID-19 病例数量的冲击和原油价格波动影响了医疗保健股，但仅持续了几天。虽然在存在两国马尔可夫制度的情况下，COVID-19 病例数的每日变化影响了一些医疗保健股，但系数不显着且持续时间相对较短表明卖空政策并未显着改变平均价格和风险医疗保健股来解释医疗保健行业的两国体制。

研究限制/影响

两国马尔可夫体制中的微不足道系数强化了卖空政策对医疗保健股票价格的短期影响。调查结果受到卖空政策持续时间、大流行事件和医疗保健行业的限制。

原创性/价值

这是第一项研究早期 COVID-19 和卖空禁令对医疗保健股的影响的研究。