Países Bajos
Since September 2008 regulators from different countries, motivated by suspicions regarding an increase in investors' aggressiveness, have implemented several temporary short selling restrictions. In this paper, I study the effect of such policies in the context of the 2012 Spanish short selling ban. The results of this paper highlight an important policy trade-off: on the one hand, I provide evidence that, in line with regulator beliefs, investor aggressiveness is extremely high prior to the ban and, it reverts just after the ban implementation. On the other hand, using a novel identification strategy, I find that this policy increases the bid-ask spread. The causal interpretation of these results is obtained using intraday data under the assumption that the exact time of the implementation is random. The results obtained under this methodology are much smaller than the ones found in previous literature.
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