It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective?
This paper evaluates the effectiveness of the COVID-19 temporarily led restriction on short selling by the Stock Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market quality from 2 September 2019 to 30 September 2020. Exploiting t...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2106633 |
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| _version_ | 1849687404112248832 |
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| author | Tanakorn Likitapiwat Sirimon Treepongkaruna |
| author_facet | Tanakorn Likitapiwat Sirimon Treepongkaruna |
| author_sort | Tanakorn Likitapiwat |
| collection | DOAJ |
| description | This paper evaluates the effectiveness of the COVID-19 temporarily led restriction on short selling by the Stock Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market quality from 2 September 2019 to 30 September 2020. Exploiting this short selling restriction as a natural experiment, we conduct difference-in-difference analyses and find that the uptick restriction on short selling worsens market quality with higher spread, lower market depth, and order imbalance. In addition, we find an increase in volatility during the restriction and a negative return surrounding the announcement date. This implies that the restriction increases the trading costs and price impact and fails to tame the volatile market and reduce returns. |
| format | Article |
| id | doaj-art-cb879dbd93614c949c85fe6ccc57bd7e |
| institution | DOAJ |
| issn | 2332-2039 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-cb879dbd93614c949c85fe6ccc57bd7e2025-08-20T03:22:20ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2106633It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective?Tanakorn Likitapiwat0Sirimon Treepongkaruna1Department of Banking and Finance, Chulalongkorn University, ThailandUWA Business School, The University of Western Australia. Crawley, Perth, Western Australia, AustraliaThis paper evaluates the effectiveness of the COVID-19 temporarily led restriction on short selling by the Stock Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market quality from 2 September 2019 to 30 September 2020. Exploiting this short selling restriction as a natural experiment, we conduct difference-in-difference analyses and find that the uptick restriction on short selling worsens market quality with higher spread, lower market depth, and order imbalance. In addition, we find an increase in volatility during the restriction and a negative return surrounding the announcement date. This implies that the restriction increases the trading costs and price impact and fails to tame the volatile market and reduce returns.https://www.tandfonline.com/doi/10.1080/23322039.2022.2106633Causal inferencedifference-in-differencemarket qualityshort-selling restrictionStock Exchange of ThailandG10 |
| spellingShingle | Tanakorn Likitapiwat Sirimon Treepongkaruna It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? Cogent Economics & Finance Causal inference difference-in-difference market quality short-selling restriction Stock Exchange of Thailand G10 |
| title | It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? |
| title_full | It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? |
| title_fullStr | It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? |
| title_full_unstemmed | It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? |
| title_short | It’s COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective? |
| title_sort | it s covid 19 chaos is the temporary restriction on short selling in thailand effective |
| topic | Causal inference difference-in-difference market quality short-selling restriction Stock Exchange of Thailand G10 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2106633 |
| work_keys_str_mv | AT tanakornlikitapiwat itscovid19chaosisthetemporaryrestrictiononshortsellinginthailandeffective AT sirimontreepongkaruna itscovid19chaosisthetemporaryrestrictiononshortsellinginthailandeffective |