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Analysis of market quality before and during short-selling bans

Carlos Alves (), Victor Mendes () and Paulo Silva

Research in International Business and Finance, 2016, vol. 37, issue C, 252-268

Abstract: 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 short-lived: 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.

Keywords: Short-selling; Ban; Market quality; Market efficiency (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.ribaf.2015.11.009

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