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The cross market effects of short sale restrictions

Citation

Dungey, M and McKenzie, M and Yalama, A, The cross market effects of short sale restrictions, North American Journal of Economics and Finance, 26, (December) pp. 53-71. ISSN 1062-9408 (2013) [Refereed Article]

Copyright Statement

Copyright 2013 Elsevier Inc.

Official URL: http://dx.doi.org/1 0.1 016/j.najef.2013.06.00 1

DOI: doi:10.1016/j.najef.2013.06.001

Abstract

This paper considers the impact of the 2008 short selling bans on the cross-market dynamics of stock indices across a wide range of countries. We measure the transmision of shocks between markets using a modified version of the spillover index of Diebold and Yilmaz (2009). The results show that the transmission of shocks between countries which did impose short sale bans was reduced and transmissions from countries with bans to countries without bans were also generally lower. In contrast, short sale bans did not proivde protection from shocks emanating from countries which did not impose bans, as shocks from non-banning markets tended to have an increased impact on other markets during periods where bans were in place. Overall, the evidence supports the redirection of volatility in the system affecting the relationships between the groups of markets with bans and those without.

Item Details

Item Type:Refereed Article
Keywords:Short selling; Financial crisis; Cross-market relationships
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Fiscal Policy
Author:Dungey, M (Professor Mardi Dungey)
ID Code:86359
Year Published:2013
Deposited By:Economics and Finance
Deposited On:2013-09-09
Last Modified:2017-12-06
Downloads:0

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