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Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market

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Morales-Zumaquero, Amalia and Sosvilla-Rivero, Simón (2015) Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market. Applied Economics Letters, 22 (11). pp. 854-859. ISSN 1466-4291

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Official URL: http://dx.doi.org/10.1080/13504851.2014.982850



Abstract

This article analyses the effect of the introduction of temporary ban on short positions in the Spanish market on the volatility of both the closing price and the trading volume of the underlying index as well as on the price of the main financial institutions. Using an econometric procedure for detecting structural breaks in the series, we study the period January 2000–December 2013. Our results do not suggest any significant impact on variance, neither on price nor on trade volume.


Item Type:Article
Uncontrolled Keywords:Short-selling ban; Structural breaks; GARCH model.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Stock exchanges
JEL:G18, C22, C59
ID Code:59871
Deposited On:02 Apr 2020 11:12
Last Modified:24 Apr 2020 09:43

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