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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/128719

Please use this identifier to cite or link to this item: https://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 陳聖賢 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 link:	https://doi.org/10.1017/S002210901900053X
DOI:	10.1017/S002210901900053X
Appears in Collections:	[Department of Finance] Periodical Articles

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