Abstract

http://ssrn.com/abstract=891478
 


 



(How) Does the Uptick Rule Constrain Short Selling?


Gordon J. Alexander


University of Minnesota - Twin Cities - Carlson School of Management

Mark A. Peterson


Southern Illinois University at Carbondale - Department of Finance

March 15, 2006


Abstract:     
Regulation SHO is designed to allow for tests of how the uptick rule effects trading, as it temporarily suspends the rule for a pilot sample of NYSE-listed stocks. Relative to a matched control sample, pilot stocks have similar rates of return, short trading volume, price volatility, and measures of market efficiency. At the microstructure level, short sales for pilot stocks have (1) smaller trade sizes but more trades, (2) lower execution prices, (3) larger price impacts, and (4) similar effective spreads. Interestingly, these orders face significantly larger quoted spreads along with significantly smaller bid and, more notably, ask depths.

Keywords: Short selling, uptick rule, Regulation SHO

JEL Classification: D02, G12, G18

working papers series


Not Available For Download

Date posted: March 17, 2006  

Suggested Citation

Alexander, Gordon J. and Peterson, Mark A., (How) Does the Uptick Rule Constrain Short Selling? (March 15, 2006). Available at SSRN: http://ssrn.com/abstract=891478

Contact Information

Gordon J. Alexander (Contact Author)
University of Minnesota - Twin Cities - Carlson School of Management ( email )
19th Avenue South
Minneapolis, MN 55455
United States
612-624-8598 (Phone)
612-624-1335 (Fax)
Mark Anthony Peterson
Southern Illinois University at Carbondale - Department of Finance ( email )
Mailcode 4626
Carbondale, IL 62901-4626
United States
618-453-1426 (Phone)
618-453-5626 (Fax)
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