@article{Charoenrook:51180,
      recid = {51180},
      author = {Charoenrook, Anchada and Daouk, Hazem},
      title = {A Study of Market-Wide Short-Selling Restrictions},
      address = {2009-06-16},
      number = {642-2016-44312},
      series = {Working Paper},
      pages = {43},
      month = {Jun},
      year = {2009},
      abstract = {This paper contributes empirical evidence to the on-going  debate on short sales. Our
examination of how market-wide  short-sale restrictions affect aggregate market  returns
focuses on two main questions: What is the effect  of short-sale restrictions on skewness, volatility, the  probability of market crashes, and liquidity? What is the  effect on the market expected return or cost of capital? We  report new data on the history of short-selling and  put
option trading regulations and practices from 111  countries, and create a short-selling feasibility indicator  for the analysis of stock market indices around the world.  We find that when short-selling is possible, aggregate  stock returns are less volatile and there is greater  liquidity. When countries start to permit short-selling,  aggregate stock price increases,
implying lower a cost of  capital. There is no evidence that short-sale restrictions  affect either the level of skewness of returns or the  probability of a market crash. Collectively, our empirical  evidence suggests that allowing short-selling enhances  market quality.},
      url = {http://ageconsearch.umn.edu/record/51180},
      doi = {https://doi.org/10.22004/ag.econ.51180},
}