Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity
نویسندگان
چکیده
Abstract We examine short selling of equity exchange traded funds (ETFs) using the 2008 short-sale ban. Contrasting previously documented contractions in bearish strategies during ban, we find a significant increase sales largest, most liquid ETF, S&P 500 Spider. offer evidence suggesting that this upsurge was driven primarily by investors circumventing show ban’s detrimental effect on stock liquidity around 30% less severe for Spider’s constituents. Our results suggest ETF shorts can substitute individual stocks, thereby alleviating constraints’ adverse liquidity.
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2021
ISSN: ['1756-6916', '0022-1090']
DOI: https://doi.org/10.1017/s0022109021000181