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Banning Short Selling
Return and Liquidity Effects of Bans on Covered Short Selling During the 2008-2009 Financial Crisis
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Veröffentlicht 2011, von Rolf Dürr bei VDM Verlag Dr. Müller
ISBN: 978-3-639-36867-3
104 Seiten
220 mm x 150 mm
Although most researches conclude that short selling is beneficial to market efficiency, short selling has been banned in various stock markets during the 2008-2009 financial crisis. This study examines the effect of covered short selling bans on banned stocks in terms of return and liquidity characteristics in four different equity markets (US, Canada, Great Britain, Denmark) during this period. ...
Beschreibung
Although most researches conclude that short selling is beneficial to market efficiency, short selling has been banned in various stock markets during the 2008-2009 financial crisis. This study examines the effect of covered short selling bans on banned stocks in terms of return and liquidity characteristics in four different equity markets (US, Canada, Great Britain, Denmark) during this period. Since these markets contain stocks which have been affected by the ban as well as stocks that have not been affected, they offer a special opportunity for research. Results of this study imply, that no beneficial effects resulted from the ban. In three out of four examined markets short selling bans had negative effects on banned stocks in terms of liquidity, returns or intraday volatility.
Although most researches conclude that short selling is beneficial to market efficiency, short selling has been banned in various stock markets during the 2008-2009 financial crisis. This study examines the effect of covered short selling bans on banned stocks in terms of return and liquidity characteristics in four different equity markets (US, Canada, Great Britain, Denmark) during this period. Since these markets contain stocks which have been affected by the ban as well as stocks that have not been affected, they offer a special opportunity for research. Results of this study imply, that no beneficial effects resulted from the ban. In three out of four examined markets short selling bans had negative effects on banned stocks in terms of liquidity, returns or intraday volatility.