How did short sale ban affect German capital market risk?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00098179" target="_blank" >RIV/00216224:14560/17:00098179 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.11118/actaun201765062017" target="_blank" >http://dx.doi.org/10.11118/actaun201765062017</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765062017" target="_blank" >10.11118/actaun201765062017</a>
Alternative languages
Result language
angličtina
Original language name
How did short sale ban affect German capital market risk?
Original language description
The problem of short sale is a popular issue of stock trading and efficiency of pricing. Most regulatory authorities around the world adopted in the period 2007-2010 ad hoc bans on short selling. This paper provides an examination of an impact of the short sale regulation on the German capital market during crisis period 2008-2010. The purpose is to identify effects of the short sale regulation on level of systematic risk on German capital market and to investigate the discovery of stock prices of German blue chips at the period from May 2007 to April 2011 and three sub periods which demonstrate different regulatory approach to naked short sale regulation. The results suggest that short sale ban affects the level of systematic risk in the German market and prolongs a price reaction on new information. Further, short sale ban limits activities of investors with bearish view. After adoption of short sale ban the level of systematic risk increases and not only banned stocks are affected by the regulation. Finally, at the analyzed period the problem of negative information corporation in stock prices has arisen. Thereafter, the short sale ban is lifted the level of systematic risk decrease and there are not significant differences for banned and not banned stocks. Further, the price efficiency measured by autocorrelation also decreased after ban is lifted.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
65
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
2017-2024
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85038856221