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March 3, 2026
The effect of short sale constraint on option liquidity: evidence from JGTRRA
RY
Ruixin Yang
ZZ
Zhaodong Zhong
Key Points
Option liquidity decreases under short sale constraints, impacting trading dynamics and pricing.
The study identifies a notable liquidity premium differential in constrained versus unconstrained environments.
Analysis of market reactions to the JGTRRA financial policy provides insights on regulatory impacts.
Findings suggest that enhancing option liquidity may improve overall market efficiency.
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Yang et al. (Wed,) studied this question.
synapsesocial.com/papers/69a75c90c6e9836116a25878
https://doi.org/https://doi.org/10.1007/s11156-025-01476-4
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The effect of short sale constraint on option liquidity: evidence from JGTRRA | Synapse