Impact and Evaluation of Short Sale Ban Imposed on European Stocks
| Title in English | Impact and evaluation of short sale ban imposed on European stocks |
|---|---|
| Authors | |
| Year of publication | 2017 |
| Type | Article in Proceedings |
| Conference | PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | price discovery; short sale; Germany |
| Description | The problem of short sale is a popular issue of stock trading and efficient pricing. Most restrictions of short sale are triggered by strong downward stock market and lifted after market recovery. In 2010 European authorities have responded to the debt crisis by adopting several bans on short selling. These bans have been imposed individually along European countries by particular market regulators. Short selling restrictions have several forms and can affect the trading process, stocks or market participant. The paper studies the quality of price discovery in the selected EU capital market before and during this short sale regulation. The aim of the paper is to investigate aspects of recent short selling regulations on German market. The methodology is based on Merck, Yeung, and Yu (MYY) (2000), more efficient markets can be expressed to have more idiosyncratic risk, since the ratio of firm-specific information to market level information is likely to be higher in informational environments. MYY is used to investigate the potential asymmetry in price adjustments. Using this method changes in the level of systematic risk were founded when short sale was constrained. |
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