 Short selling constraints and stock returns volatility: Empirical evidence from the German stock marketMartin T. Bohl, Gerrit Reher and Bernd Wilfling Economic Modelling, 2016, vol. 58, issue C, 159-166 Abstract: In this paper, we focus on the impact of short selling restrictions on stock returns volatility. In order to assess the potential effects econometrically, we apply two distinct versions of an asymmetric Markov-switching GARCH model to the short selling bans on stocks of financial enterprises in Germany, that were established between September 2008 and July 2010. We find empirical evidence that the financial crisis was accompanied by an increase in volatility persistence and that this effect was particularly pronounced for those stocks that were subject to short selling constraints. We interpret this finding as evidence of a destabilizing impact of short selling constraints on stock returns volatility. Keywords: Financial market regulation; Short selling constraints; Stock returns volatility; Markov-switching GARCH models (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:58:y:2016:i:c:p:159-166 DOI: 10.1016/j.econmod.2016.05.025 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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