Impact and Evaluation of Short Sale Ban Imposed on European Stocks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00095887" target="_blank" >RIV/00216224:14560/17:00095887 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Impact and Evaluation of Short Sale Ban Imposed on European Stocks
Original language 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.
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE
ISBN
9788022543620
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
188-193
Publisher name
EKONOM
Place of publication
BRATISLAVA
Event location
Natl Bank Slovakia, Bratislava, SLOVAKIA
Event date
Sep 20, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000411851600024

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