Showing 1 - 10 of 257
Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban...
Persistent link: https://www.econbiz.de/10010571832
Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban...
Persistent link: https://www.econbiz.de/10009003036
Persistent link: https://www.econbiz.de/10005540449
In this paper we provide an estimate of the likelihood of conflict between the federal government and the Bundesbank for the 1989–1998 period. We rely on a novel proxy for the impact of public communication by Bundesbank officials on the probability of conflict, in addition to interest rate,...
Persistent link: https://www.econbiz.de/10005436135
Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...
Persistent link: https://www.econbiz.de/10010735831
The literature on short-selling restrictions focusses mainly on a ban's impact on market efficiency, liquidity and overpricing. Surprisingly, little is known about the effects of short-sale constraints on herd behaviour. Since institutional investors have come to dominate mature stock markets...
Persistent link: https://www.econbiz.de/10010786522
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with...
Persistent link: https://www.econbiz.de/10010939331
Persistent link: https://www.econbiz.de/10006642478
This paper contributes to the literature measuring the response of stock markets to monetary policy actions. We analyse the reaction of European stock market returns to unexpected interest rate decisions by the European Central Bank (ECB). Endogeneity between interest rate changes and stock...
Persistent link: https://www.econbiz.de/10005667768
This paper examines the role of the European Central Bank (ECB) communication activities on daily eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognizes the joint determination of both...
Persistent link: https://www.econbiz.de/10005808579