Analysis of market quality before and during short-selling bans

• Type: Article in International Scientific Journal
• Date: 2016

Authors

Carlos Alves (Author) FEP; Victor Mendes (Author) Other; Paulo Pereira Silva (Author) Other

Journal

Title: Research in International Business and Finance

Vol. 37

Pages: 252-268

ISSN: 0275-5319

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 8 Citations

Scopus - 10 Citations

Other information

Authenticus ID: P-00K-223

DOI: 10.1016/j.ribaf.2015.11.009

Abstract (EN): We measure the impact of the August 2011 bans on covered short-selling adopted by several European countries. Our results provide evidence that the impact on prices was shortlived: the positive price impact disappears after ten days. The short-selling restrictions did not contribute to reduce the volatility of the financial stocks subjected to the bans; on the contrary, our findings indicate that volatility actually increased by a greater extent for these stocks than for other financial stocks with similar characteristics. The bans also had a negative impact on liquidity. Moreover, stocks subjected to the bans exhibit a longer delay in the assimilation of negative market news during the banning span.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 17