发表期刊：Journal of Empirical Finance
发表时间：Published: September 2023
作者及单位：Haiqiang Chen1, Ming Gu1*, Bo Ni
1.School of Economics & WISE, Xiamen University, China
摘要：In this paper, we examine the joint effect of price limit and short-sale constraints on price discovery. Using a natural experiment in China, we show the exogenous relaxation of price limit improves price efficiency. Importantly, shortable stocks experience more improvement in price efficiency than non-shortable stocks. Event-study analysis further documents less delayed price discovery following the price-limit-hitting event on shortable stocks, which is explained by selling pressure from large institutional orders. Our findings suggest that alleviating shortsale constraints could synergize with the relaxation of trading restrictions to improve price efficiency.
关键词：Price limit; Market efficiency; Short-sale constraints
