During the recent COVID-19 pandemic crisis, stock markets around the world have witnessed an abrupt decline in security prices and an unprecedented increase in security volatility. In response to a week of financial turmoil on the main European stock markets, some market regulators in Europe, including France, Austria, Italy, Spain, Greece, and Belgium, passed temporary short-selling bans in an attempt to stop downward speculative pressures on the equity market and stabilize and maintain investors’ confidence. This paper examines the effects of these short-selling bans on market quality during the recent pandemic caused by the spread of COVID-19. Our results suggest that during the crisis, banned stocks had higher information asymmetry, lower liquidity, and lower abnormal returns compared with non-banned stocks. These findings confirm prior theoretical arguments and empirical evidence in other settings that short-selling bans are not effective in stabilizing financial markets during periods of heightened uncertainty. In contrast, they appear to undermine the policy goals market regulators intended to promote.

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禁止卡桑德拉进入市场？Covid-19危机期间卖空禁令的实证分析

在最近的 COVID-19 大流行危机期间，世界各地的股票市场见证了证券价格的突然下跌和证券波动性的空前增加。为应对欧洲主要股市连续一周的金融风暴，包括法国、奥地利、意大利、西班牙、希腊和比利时在内的一些欧洲市场监管机构通过了临时卖空禁令，试图遏制下行投机压力。股市，稳定和维护投资者信心。本文研究了在最近由 COVID-19 传播引起的大流行期间，这些卖空禁令对市场质量的影响。我们的研究结果表明，在危机期间，与非禁售股票相比，禁售股票具有更高的信息不对称性、较低的流动性和较低的异常收益。这些发现证实了先前的理论论点和其他环境中的经验证据，即在不确定性加剧的时期，卖空禁令无法有效稳定金融市场。相比之下，它们似乎破坏了市场监管机构旨在促进的政策目标。