Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan

被引：1

作者：

Khan, Mostafa Saidur Rahim ^{[1
]}

Bremer, Marc ^{[2
]}

Kato, Hideaki Kiyoshi ^{[1
]}

机构：

[1] Nagoya Univ, Grad Sch Econ, Chikusa Ku, Furo Cho, Nagoya, Aichi 4648601, Japan

[2] Nanzan Univ, Sch Business Adm, Showa Ku, 18 Yamazato Cho, Nagoya, Aichi 4668673, Japan

来源：

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES | 2018年 / 48卷

关键词：

Short-sales; Centralized securities lending; Recall risk; Overvaluation; Pricing; EQUITY LENDING MARKET; STOCK RETURNS; SHORT-SELLERS; OPTIONS MARKETS; RESTRICTIONS; INFORMATION; OPINION; EFFICIENCY; OWNERSHIP;

D O I：

10.1016/j.jjie.2017.11.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the significance of short-sales constraints in the presence of a centralized lendable securities market in Japan. We find evidence that a centralized lendable securities market experiences lower short sales constraints. The cost of borrowing stock is found to be lower in Japan's centralized lendable securities market compared with a non-centralized lendable securities market. We also find evidence that recall risk is lower in a centralized lendable securities market. Additionally, there is evidence that stocks are not systematically overvalued in the presence of the centralized lendable securities market. These results are robust when alternative measures of short-sales constraints are considered.

引用

页码：85 / 96

页数：12

共 30 条

[21] Margin Trading and Short Selling on Stock Liquidity: Evidence from the Expansion of Marginal Securities in Chinese Stock Market
Zhong, Yonghong
Li, Shuxuan
[J]. PROCEEDINGS OF 2016 9TH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE AND DESIGN (ISCID), VOL 1, 2016, : 82 - 86
[22] Bank dependence and financial constraints on investment: Evidence from the corporate bond market paralysis in Japan
Uchino, Taisuke
[J]. JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES, 2013, 29 : 74 - 97
[23] Spillover Effects of Counter-Cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales
Lioui, Abraham
[J]. JOURNAL OF ALTERNATIVE INVESTMENTS, 2011, 13 (03): : 53 - 66
[24] Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets
Su, Larry
Homapour, Elmina
Chiclana, Francisco
[J]. MATHEMATICS, 2022, 10 (17)
[25] Short selling constraints and stock returns volatility: Empirical evidence from the German stock market
Bohl, Martin T.
Reher, Gerrit
Wilfling, Bernd
[J]. ECONOMIC MODELLING, 2016, 58 : 159 - 166
[26] Positive Return-Volatility Correlation and Short Sale Constraints: Evidence from the Chinese Market
Wu, Liang
Luo, Hong
Fu, Zhiming
[J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2018, 47 (01) : 132 - 157
[27] Distribution of Ownership, Short Sale Constraints, and Market Efficiency: Evidence from Cross-Listed Stocks
Gagnon, Louis
Witmer, Jonathan
[J]. FINANCIAL MANAGEMENT, 2014, 43 (03) : 631 - 670
[28] Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
Sohn, Pando
Seo, Ji-Yong
[J]. ESTUDIOS DE ECONOMIA, 2015, 42 (01): : 21 - 51
[29] Does short sale restriction lower price efficiency when substitutes exist? Evidence from the Korean market
Lee, Soonhee
[J]. ECONOMICS LETTERS, 2017, 158 : 77 - 79
[30] Testing the Effectiveness of Market-Based Controls: Evidence From the Experience of Japan With Short-Term Capital Flows in the 1970s
Esaka, Taro
Takagi, Shinji
[J]. INTERNATIONAL FINANCE, 2013, 16 (01) : 45 - 69

← 1 2 3 →