Анализ ограничений на короткие продажи на развивающихся рынках акций
DOI:
https://doi.org/10.17323/j.jcfr.2073-0438.20.2.2026.58-81Ключевые слова:
обвал фондового рынка, запрет коротких продаж, правило повышения ценыАннотация
Распространение COVID-19 создало угрозу глобальной финансовой стабильности и привело к введению ограничений на короткие продажи на фондовых рынках. Как развитые, так и развивающиеся рынки пытались защитить инвесторов с помощью этих мер, стремясь поддержать уровень цен и предотвратить панику на рынке. В современной литературе нет однозначного мнения о влиянии ограничений на короткие продажи на фондовые рынки; более того, большинство исследований сосредоточено на США и Европе, не уделяя внимания развивающимся рынкам. В данной работе впервые в литературе исследуется влияние ограничений на короткие продажи на развивающихся рынках акций. В статье проводится анализ влияния ограничений на доходность акций, объем торгов, ликвидность, волатильность и рыночные показатели риска (Value-at-Risk и Expected Shortfall). Исследование охватывает период финансовой турбулентности 2020 года, вызванной распространением COVID-19. Анализ проводится отдельно для двух наиболее распространенных типов ограничений: полного запрета коротких продаж и правила uptick (повышения цены), что позволяет сравнить эти две политики. Обнаружено, что как запрет коротких продаж, так и правило uptick оказывают одинаковое влияние на фондовые рынки с точки зрения величины и значимости эффекта. С помощью метода сопоставленных разностей (matched difference-in-difference) исследование показывает, что введение ограничений на короткие продажи приводит к росту дневной и недельной доходности акций без изменения объема торгов или ликвидности. В отличие от результатов предыдущих исследований, волатильность доходности акций снижается, при этом рыночные показатели риска (Value-at-Risk и Expected Shortfall) остаются неизменными. Результаты подтверждены рядом проверок на устойчивость: плацебо-тесты, изменение схем сопоставления. Результаты исследования могут помочь регуляторам фондового рынка понять последствия ограничений на короткие продажи и повлиять на их решения относительно типа и продолжительности таких ограничений.
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