本文以次貸風暴期間英國金融服務管理局的限制放空政策為研究對象，探討該政策對股票報酬率、股票波動度之影響。本研究將研究期間分為限制放空期間、允許放空期間，並將英國金融服務管理局公布的限制放空名單劃分為銀行業、財務顧問業、壽險業、產險業，利用GJR模型分析限制放空政策對不同產業影響的差異性。 實證結果證明，除少數銀行類股在限制放空期間的股價報酬率顯著低於允許放空期間，大部分限制放空個股的報酬率在兩期間並無顯著差異，然而限制放空期間幾乎所有研究樣本的股票波動度卻顯著提高。顯見政府限制放空政策不一定能有效抑制股價跌幅，卻會加劇股票波動性，加劇市場震盪。 / UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries. We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.