Analysis of market quality before and during short-selling bans

• Tipo: Artigo em Revista Científica Internacional
• Data: 2016

Autores

Carlos Alves (Autor) FEP; Victor Mendes (Autor) Outra; Paulo Pereira Silva (Autor) Outra

Revista

Título: Research in International Business and Finance

Vol. 37

Páginas: 252-268

ISSN: 0275-5319

Editora: Elsevier

Indexação

ISI Web of Knowledge - 8 Citações

Scopus - 10 Citações

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 17