Short Sales COnstraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse

Bruno Biais, Christophe Bisière and Jean-Paul Décamps

Working Papers from Toulouse - GREMAQ

Abstract: In the Paris Bourse some stocks are traded on a spot basis, while others are traded on a monthly settlement basis. The latter are likely to be less subject to leverage and short sales constraints. We empirically analyze the consequences of this difference on the order flow and the return process. Consistent with the theoretical analysis of Diamond and Verrechia (1987), we find that market sell orders are less frequent on the spot market than on the monthly settlement market (although not very significantly) and that the spot market reflects good news (significantly) faster than bad news.

Keywords: STOCK MARKET; LIQUIDITY; PRICING (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Short Sales Constraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse (1999)
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:fth:gremaq:97.485

Access Statistics for this paper

More papers in Working Papers from Toulouse - GREMAQ GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().