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J. Risk Financial Manag. 2018, 11(2), 17; https://doi.org/10.3390/jrfm11020017

Equity Options During the Shorting Ban of 2008

Gabelli School of Business, Fordham University, New York, NY 10458, USA
Current address: Fordham University GBA, 113 West 60th St, New York, NY 10023, USA.
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Received: 11 February 2018 / Revised: 16 March 2018 / Accepted: 27 March 2018 / Published: 31 March 2018
(This article belongs to the Special Issue Empirical Asset Pricing)
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Abstract

The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. Using transaction level data from OPRA (The Options Price Reporting Authority), we study the options volume, spreads, pricing measures and option trade volume informativeness during the ban. We also consider the put–call parity relationship. While mostly statistically significant, economic magnitudes of our results suggest that the impact of the ban on the equity options market was likely not as dramatic as initially thought. View Full-Text
Keywords: SEC; shorting ban; OPRA; intraday stock options SEC; shorting ban; OPRA; intraday stock options
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
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Cakici, N.; Goswami, G.; Tan, S. Equity Options During the Shorting Ban of 2008. J. Risk Financial Manag. 2018, 11, 17.

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