Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market

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 det...

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Detalles Bibliográficos
Autores: Morales-Zumaquero, Amalia, Sosvilla Rivero, Simón Javier
Tipo de recurso: artículo
Fecha de publicación:2015
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/34186
Acceso en línea:https://hdl.handle.net/20.500.14352/34186
Access Level:acceso abierto
Palabra clave:G18
C22
C59
Short-selling ban
Structural breaks
GARCH model.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
Descripción
Sumario: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.