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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/128719
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/128719

    Title: Short-Sale Constraints and Options Trading: Evidence from Reg SHO
    Authors: 周冠男
    Chou, Robin K.
    Chen, Yi-Wen
    Chen, Sheng-Syan
    Contributors: 財管系
    Date: 2019-08
    Issue Date: 2020-02-20 14:29:58 (UTC+8)
    Abstract: 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.
    Relation: Journal of Financial and Quantitative Analysis
    Data Type: article
    DOI 連結:  https://doi.org/10.1017/S002210901900053X
    DOI: 10.1017/S002210901900053X
    Appears in Collections:[財務管理學系] 期刊論文

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