Short-Sale Constraints and Options Trading: Evidence from Reg SHO
Tóm tắt
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.
Từ khóa
Tài liệu tham khảo
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U. S. Securities Exchange Commission. “Economic Analysis of the Short Sale Price Restrictions under the Regulation SHO Pilot.” Working Paper, U.S. Securities and Exchange Commission (2007).