Market Efficiency and Stability Under Short Sales Constraints: Evidence from a Natural Experiment with High-Frequency Resolution

The six short-sales constraints (SSCs) regime changes from 2002 to 2009 in the Taiwan stock market provide “natural social” experiments to examine how different SSC intensities affect price adjustment efficiency and market stability. There are three main findings. Firstly, we derive the theoretical...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Lin-Kun Chan, Chin-Yang Lin, Jin-Huei Yeh
Format:	Article
Language:	English
Published:	MDPI AG 2025-02-01
Subjects:	short-sales constraints price efficiency put–call parity threshold error correction counterfactual policy analysis
Online Access:	https://www.mdpi.com/2227-7390/13/5/816