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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Detalhes bibliográficos
Autores: Morales-Zumaquero, Amalia, Sosvilla Rivero, Simón Javier
Tipo de documento: artigo
Data de publicação:2015
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositório:Docta Complutense
Idioma:inglês
OAI Identifier:oai:docta.ucm.es:20.500.14352/34186
Acesso em linha:https://hdl.handle.net/20.500.14352/34186
Access Level:Acceso aberto
Palavra-chave:G18
C22
C59
Short-selling ban
Structural breaks
GARCH model.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/34186
network_acronym_str ES
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repository_id_str
spelling Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock MarketMorales-Zumaquero, AmaliaSosvilla Rivero, Simón JavierG18C22C59Short-selling banStructural breaksGARCH model.Econometría (Economía)Mercados bursátiles y financieros5302 EconometríaThis 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.Taylor & FrancisUniversidad Complutense de Madrid20152015-01-0120152015-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/34186reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/341862026-06-02T12:44:21Z
dc.title.none.fl_str_mv Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
title Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
spellingShingle Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
Morales-Zumaquero, Amalia
G18
C22
C59
Short-selling ban
Structural breaks
GARCH model.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
title_short Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
title_full Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
title_fullStr Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
title_full_unstemmed Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
title_sort Temporary ban on short positions and financial market volatility: evidence from the Madrid Stock Market
dc.creator.none.fl_str_mv Morales-Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author Morales-Zumaquero, Amalia
author_facet Morales-Zumaquero, Amalia
Sosvilla Rivero, Simón Javier
author_role author
author2 Sosvilla Rivero, Simón Javier
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv G18
C22
C59
Short-selling ban
Structural breaks
GARCH model.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
topic G18
C22
C59
Short-selling ban
Structural breaks
GARCH model.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
description 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.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01
2015
2015-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/34186
url https://hdl.handle.net/20.500.14352/34186
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869415806766415872
score 15.300719

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