Yeh, Jin-Huei; Chen, Lien-Chuan - In: Finance Research Letters 11 (2014) 3, pp. 238-246
We re-examine the impact of short-sale constraints (SSC) on market stabilization via realized jump activities during 2002–2009 to circumvent the reverse causality in identifying the policy effects of SSC. We observed that the abnormal downturns under tighter short sale constraints are...