Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
This paper studies the main effects of the short sales ban implemented in August 2011 in the Spanish stock market along two dimensions: financial stability and market performance. Regarding the first, we show that short positions were a significant determinant of the probability of default of medium...
| Autores: | , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2012 |
| País: | España |
| Institución: | Universidad de Navarra |
| Repositorio: | Dadun. Depósito Académico Digital de la Universidad de Navarra |
| Idioma: | inglés |
| OAI Identifier: | oai:dadun.unav.edu:10171/43144 |
| Acceso en línea: | https://hdl.handle.net/10171/43144 |
| Access Level: | acceso abierto |
| Palabra clave: | Materias Investigacion::Economía y Empresa Short-sales constraints Financial stability Financial institutions Credit default swap Contagion |
| Sumario: | This paper studies the main effects of the short sales ban implemented in August 2011 in the Spanish stock market along two dimensions: financial stability and market performance. Regarding the first, we show that short positions were a significant determinant of the probability of default of medium-sized banks before the ban. We find that, by weakening the contagion effect coming from the sovereign risk, the ban helped stabilise the probability of default of medium-sized banks, an effect which is not significant in the case of the largest banks and non-financials. Nonetheless, the stabilising power of the ban came at the cost of a large decline in the relative liquidity, trading volumes and price information efficiency of medium-sized banks stocks. |
|---|