La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)

Lisa Mattioli and Riccardo Ferretti

Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"

Abstract: On September 2008, Consob banned the short-selling of financial stocks in the Italian equity market. We analyse the effect of these bans on liquidity, returns, volatility and market efficiency comparing a sample of 23 financial stocks with a control group. The analysis shows a reduction in liquidity for the banned stocks and no significant differences in returns, volatility and market efficiency between the two groups, testifying the inability of restrictions to achieve the purpose for which they were introduced.

Keywords: short selling; regulation; stock market; liquidity; volatility; market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Pages: pages 27
Date: 2013-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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