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Self-regulation, short-selling and market liquidity: evidence from Australia’s 1930s stock exchange bans

Grant Fleming et al.

Financial History Review2026https://doi.org/10.1017/s0968565025100139article
AJG 2ABDC B
Weight
0.50

Abstract

Do self-imposed short-selling bans stabilise markets or impair them? We study the 1930 restrictions on non-mining shares introduced by the self-regulated Sydney (SSX) and Melbourne (MSX) exchanges one day apart. Using hand-collected daily quotes and trades for four weeks around the bans, we estimate difference-in-differences models by exchange and by listing status, and stratify firms by pre-ban liquidity and returns. Bid–ask spreads widen overall, most for initially illiquid firms and on SSX, while MSX effects are weaker, consistent with brief cross-venue substitution. Trading volumes adjust unevenly, with notable contractions among high-volume non-mining and dual listed firms. Returns show no systematic impact, although relative gains accrued to high-return non-mining firms on SSX. Overall, the bans introduced new frictions in liquidity and participation without providing broad price support. Our results underscore the limited effectiveness of self-regulated short-selling restrictions and offer historical insights for today’s self-regulated markets such as cryptocurrency and over-the-counter trading.

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https://doi.org/https://doi.org/10.1017/s0968565025100139

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@article{grant2026,
  title        = {{Self-regulation, short-selling and market liquidity: evidence from Australia’s 1930s stock exchange bans}},
  author       = {Grant Fleming et al.},
  journal      = {Financial History Review},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1017/s0968565025100139},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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