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The cross market effects of short sale restrictions
journal contribution
posted on 2023-05-17, 19:25 authored by Dungey, M, McKenzie, M, Yalama, AThis 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.
History
Publication title
North American Journal of Economics and FinanceVolume
26Issue
DecemberPagination
53-71ISSN
1062-9408Department/School
TSBEPublisher
Elsevier BVPlace of publication
NetherlandsRights statement
Copyright 2013 Elsevier Inc.Repository Status
- Restricted