Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan

Martin T. Bohl, Badye Essid and Pierre Siklos
Additional contact information
Martin T. Bohl: Westfalische Wilhelms-University Munster
Badye Essid: Centre for International Governance Innovation

No 112011, Working Papers from Hong Kong Institute for Monetary Research

Abstract: Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban was in place there. Estimating several variants of an asymmetric GARCH model and a Markov switching GARCH model we find robust evidence that short selling restrictions raise stock returns volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles. During recessions this effect dissipates.

Keywords: Short-Selling Bans; Taiwanese Stock Market; Asymmetric GARCH Models; Markov Switching Models (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.hkimr.org/uploads/publication/68/ub_ful ... o-11_2011-final-.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hkimr.org/uploads/publication/68/ub_full_0_2_275_wp-no-11_2011-final-.pdf [301 Moved Permanently]--> http://www.aof.org.hk/research/HKIMR/uploads/publication/68/ub_full_0_2_275_wp-no-11_2011-final-.pdf [301 Moved Permanently]--> https://www.aof.org.hk/research/HKIMR/uploads/publication/68/ub_full_0_2_275_wp-no-11_2011-final-.pdf)

Related works:
Journal Article: Do short selling restrictions destabilize stock markets? Lessons from Taiwan (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:hkm:wpaper:112011

Access Statistics for this paper

More papers in Working Papers from Hong Kong Institute for Monetary Research Contact information at EDIRC.
Bibliographic data for series maintained by HKIMR ().