https://scholars.lib.ntu.edu.tw/handle/123456789/631084
標題: | Short-Sale Constraints and Options Trading: Evidence from Reg SHO | 作者: | Chen, YW SHENG-SYAN CHEN Chou, RK |
關鍵字: | ANALYTIC APPROXIMATION; STOCK; AMERICAN; RETURNS; VOLUME; RESTRICTIONS; UNCERTAINTY; MARKETS; PRICES; RISK | 公開日期: | 2020 | 出版社: | CAMBRIDGE UNIV PRESS | 卷: | 55 | 期: | 5 | 起(迄)頁: | 1555-1579 | 來源出版物: | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 摘要: | We examine the effects of a temporary suspension of short-sale price tests on the options market. Consistent with the notion that put option trading substitutes for short selling, we find a significant reduction in put option volume. In addition, pressure on put option prices significantly declines, violations of the put-call parity become significantly less frequent, and option volume becomes less informed. Our findings add clarity to a long-standing debate on whether investors use options to circumvent equity short-selling restrictions. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/631084 | ISSN: | 0022-1090 | DOI: | 10.1017/S002210901900053X |
顯示於: | 財務金融學系 |
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