Does the "uptick rule" stabilize the stock market? Insights from adaptive rational equilibrium dynamics

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245359" target="_blank" >RIV/61989100:27510/20:10245359 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.scopus.com/record/display.uri?eid=2-s2.0-85072166142&origin=resultslist&sort=plf-f&src=s&st1=radi%2c+d&st2=&sid=b5e7922457e298202b1fb3eaf34f31d6&sot=b&sdt=b&sl=20&s=AUTHOR-NAME%28radi%2c+d%29&relpos=5&citeCnt=3&searchTerm=" target="_blank" >https://www.scopus.com/record/display.uri?eid=2-s2.0-85072166142&origin=resultslist&sort=plf-f&src=s&st1=radi%2c+d&st2=&sid=b5e7922457e298202b1fb3eaf34f31d6&sot=b&sdt=b&sl=20&s=AUTHOR-NAME%28radi%2c+d%29&relpos=5&citeCnt=3&searchTerm=</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.chaos.2019.109426" target="_blank" >10.1016/j.chaos.2019.109426</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Does the "uptick rule" stabilize the stock market? Insights from adaptive rational equilibrium dynamics

Popis výsledku v původním jazyce

This paper investigates the effects of the &quot;uptick rule&quot;(a short selling regulation formally known as Exchange Act Rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were first shown to be responsible for endogenous price fluctuations. The dynamics of stock prices generated by the model, with and without the uptick-rule restriction, are analyzed by pairing the classical fundamental prediction with beliefs based on both linear and nonlinear forecasting rules deriving from the technical analysis of the financial markets. The comparison shows a reduction of downward price movements of undervalued shares when the short selling restriction is imposed. This gives evidence that the uptick rule meets its intended objective. However, the effects of the short selling regulation fade when the intensity of choice to switch trading strategies is high. In addition, the analysis suggests possible side effects of the regulation on price dynamics, such as an excessive swelling of speculative bubbles. (C) 2019 Elsevier Ltd. All rights reserved.

Název v anglickém jazyce

Does the "uptick rule" stabilize the stock market? Insights from adaptive rational equilibrium dynamics

Popis výsledku anglicky

This paper investigates the effects of the &quot;uptick rule&quot;(a short selling regulation formally known as Exchange Act Rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where heterogeneous and adaptive beliefs on the future prices of a risky asset were first shown to be responsible for endogenous price fluctuations. The dynamics of stock prices generated by the model, with and without the uptick-rule restriction, are analyzed by pairing the classical fundamental prediction with beliefs based on both linear and nonlinear forecasting rules deriving from the technical analysis of the financial markets. The comparison shows a reduction of downward price movements of undervalued shares when the short selling restriction is imposed. This gives evidence that the uptick rule meets its intended objective. However, the effects of the short selling regulation fade when the intensity of choice to switch trading strategies is high. In addition, the analysis suggests possible side effects of the regulation on price dynamics, such as an excessive swelling of speculative bubbles. (C) 2019 Elsevier Ltd. All rights reserved.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

Chaos, Solitons &amp; Fractals

ISSN

0960-0779

e-ISSN

—

Svazek periodika

130

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

19

Strana od-do

109426

Kód UT WoS článku

000514570600039

EID výsledku v databázi Scopus

2-s2.0-85072166142