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首页> 外文期刊>The quarterly review of economics and finance >Do short selling restrictions destabilize stock markets? Lessons from Taiwan
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Do short selling restrictions destabilize stock markets? Lessons from Taiwan

机译：卖空限制会动摇股市吗？台湾的教训

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摘要

Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban was in place there. Estimating several variants of an asymmetric GARCH model and a Markov switching GARCH model we find robust evidence that short selling restrictions raise stock returns volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles. During recessions this effect dissipates.
机译：经常将卖空者归咎于引发或加剧股市下跌。台湾的经验提供了一个有趣的案例研究，即在一个时间序列框架内实施卖空禁令对股票收益波动的影响，这是因为该国实施了卖空禁令的时间较长。估计非对称GARCH模型和Markov切换GARCH模型的几种变体，我们发现有力的证据表明卖空限制会增加股票收益的波动性。唯一的限定条件是，卖空禁令的影响是商业周期扩张阶段的特征。在经济衰退期间，这种影响消失了。

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