Which short-selling regulation is the least damaging to market efficiency? Evidence from Europe
Oscar Bernal Diaz,
Astrid Herinckx and
Ariane Szafarz
Post-Print CEB, 2014, vol. 37, 244-256
Abstract:
Exploiting cross-sectional and time-series variations in European regulations during the July 2008-June 2009 period, we show that: (1) prohibition on covered short selling raises bid-ask spread and reduces trading volume, (2) prohibition on naked short selling raises both volatility and bid-ask spread, (3) disclosure requirements raise volatility and reduce trading volume, and (4) no regulation is effective against price decline. Overall, all short-sale regulations harm market efficiency. However, naked short-selling prohibition is the only regulation that leaves volumes unchanged while addressing the failure to deliver. Therefore, we argue that this is the least damaging to market efficiency. © 2013 Elsevier Inc.
Keywords: Disclosure requirement; Market efficiency; Regulation; Short selling; Volatility (search for similar items in EconPapers)
Date: 2014
Note: SCOPUS: ar.j
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/168497/5/CEBPostprint008.pdf Œuvre complète ou partie de l'œuvre (application/pdf)
Related works:
Journal Article: Which short-selling regulation is the least damaging to market efficiency? Evidence from Europe (2014) 
Working Paper: Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe (2013) 
Working Paper: Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:sol:spaper:2013/168497
Ordering information: This journal article can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/168497
Access Statistics for this article
More articles in Post-Print CEB from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().