The effect of short-sale restrictions on the information transmission of extended index futures trading

Janchung Wang, Shih-Kuo Yeh and Bo-Ting Wang

The North American Journal of Economics and Finance, 2020, vol. 52, issue C

Abstract: During the global financial crisis, two types of short-sale restrictions, i.e., the uptick restriction and the naked short-sale ban, were introduced in the Taiwan Stock Exchange (TWSE). This provides an opportunity to examine whether these two types of short-sale restrictions reduce the speed at which the overnight spot returns and the trading period spot returns adjust to the bad news revealed through the index futures returns during the post-close and pre-open extensions. The results of the threshold GARCH(1,1) model show that only the short-sale ban significantly reduced the speed at which the overnight spot returns react to the bad news revealed by the futures returns of the TWSE index during the pre-open extended session

Keywords: Short-sale ban; Pre-open extended session; Overnight spot index return; Threshold GARCH(1,1) model (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300632

DOI: 10.1016/j.najef.2020.101166

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