Impact and Evaluation of Short Sale Ban Imposed on European Stocks

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Impact and Evaluation of Short Sale Ban Imposed on European Stocks

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Impact and Evaluation of Short Sale Ban Imposed on European Stocks

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

188-193

Název nakladatele

EKONOM

Místo vydání

BRATISLAVA

Místo konání akce

Natl Bank Slovakia, Bratislava, SLOVAKIA

Datum konání akce

20. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000411851600024