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Market quality and short-selling ban during the COVID-19 pandemic: A high-frequency data approach

Ferreruela, Sandra; Martín, Daniel - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-29

The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets …

Persistent link: https://www.econbiz.de/10014332509

It's COVID-19 chaos! Is the temporary restriction on short selling in Thailand effective?

Likitapiwat, Tanakorn - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-23

Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market … quality from 2 September 2019 to 30 September 2020. Exploiting this short selling restriction as a natural experiment, we …

Persistent link: https://www.econbiz.de/10015074059

Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach

Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29

The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets …

Persistent link: https://www.econbiz.de/10013370457

It's COVID-19 chaos! : is the temporary restriction on short selling in Thailand effective?

Likitapiwat, Tanakorn; Sirimon Treepongkaruna - In: Cogent economics & finance 10 (2022) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10013413506

The short-selling restriction and the post-crisis financial futures market in China

Zhang, Haoran - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 137-154

Persistent link: https://www.econbiz.de/10015064435

The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance

Fulbert, Tchana Tchana; Georges, Tsafack - Volkswirtschaftliche Fakultät, … - 2013

effect on the manager performance compared to the short-selling restriction effect. The VaR constraint also strongly affects … a manager with good quality of information while the short-selling restriction moderately affects manager with any level … short-selling restriction. …

Persistent link: https://www.econbiz.de/10011109926

Pair-trading profitability and short-selling restriction : evidence from the Taiwan stock market

Wang, Jai-Jen; Lee, Jin-Ping; Zhao, Yang - In: International review of economics & finance : IREF 55 (2018), pp. 173-184

Persistent link: https://www.econbiz.de/10012033472

Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market

Säfvenblad, Patrik - Economics Institute for Research (SIR), … - 1997

This paper develops and tests implications of cross-security information aggregation on index return autocorrelation. In the model, prices are realised individually and simultaneously in REE auction markets, then realigned to take information revealed in other prices into account. This...

Persistent link: https://www.econbiz.de/10005649184