Analysis of market quality before and during short-selling bans
Carlos Alves (),
Victor Mendes () and
Research in International Business and Finance, 2016, vol. 37, issue C, 252-268
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:37:y:2016:i:c:p:252-268
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