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Effects of the Short Sale Circuit Breaker on the Stock Market

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Effects of the Short Sale Circuit Breaker on the Stock Market

Yue, Heng (2017) Effects of the Short Sale Circuit Breaker on the Stock Market. Masters thesis, Concordia University.

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Abstract

We examine the benefits and costs of the short sale circuit breaker (Rule 201) for NYSE and Nasdaq stocks. Not only that the circuit breaker failed to reduce intraday volatility and intraday price decline in the market, evidence suggests that it worsens the event day return and price decline for the most volatile stocks. Market quality in terms of liquidity and fair pricing are unaffected. However, informational efficiency after large price movements is considerably improved by the short sale circuit breaker. Evidence also suggests that triggering the circuit breaker is not a small-cap phenomenon.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Yue, Heng
Institution:Concordia University
Degree Name:M. Sc.
Program:Finance
Date:7 August 2017
Thesis Supervisor(s):Switzer, Lorne
ID Code:982753
Deposited By: Heng Yue
Deposited On:16 Nov 2017 16:28
Last Modified:18 Jan 2018 17:55
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