Publication: Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
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Publication Date
2015
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Taylor & Francis
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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.