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Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
Arce, Óscar; Mayordomo, Sergio - School of Economics and Business Administration, … - 2012
the ban came at the cost of a large decline in the relative liquidity, trading volumes and price information efficiency of …
Persistent link: https://www.econbiz.de/10010599200
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Lessons from International Central Counterparties: Benchmarking and Analysis
Lazarow, Alexandre - Bank of Canada - 2011
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left...
Persistent link: https://www.econbiz.de/10009323064
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Short-sale constraints and financial stability: Evidence from the Spanish market
Arce, Óscar; Mayordomo, Sergio - Banco de España - 2014
decline in liquidity, trading and price efficiency of medium-sized banks’ stocks relative to other stocks. …
Persistent link: https://www.econbiz.de/10010862259
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Lessons from international central counterparties: Benchmarking and analysis
Lazarow, Alexandre - 2011
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left...
Persistent link: https://www.econbiz.de/10010289684
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011255488
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Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales
Dagostino, Ramona - In: Rivista di Politica Economica (2013) 4, pp. 47-77
During the Summer of 2011, securities regulators in France,Italy and Spain reintroduced a ban on short sales. This ban differed from previous restrictions: it was the first time regulators prohibited net short sales on selected financial stocks, and extended the ban widely to include synthetic...
Persistent link: https://www.econbiz.de/10010740024
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Stabilizing the market with short sale constraint? New evidence from price jump activities
Yeh, Jin-Huei; Chen, Lien-Chuan - In: Finance Research Letters 11 (2014) 3, pp. 238-246
We re-examine the impact of short-sale constraints (SSC) on market stabilization via realized jump activities during 2002–2009 to circumvent the reverse causality in identifying the policy effects of SSC. We observed that the abnormal downturns under tighter short sale constraints are...
Persistent link: https://www.econbiz.de/10010940019
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael; Nguyen, Giang - 2013
a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …
Persistent link: https://www.econbiz.de/10010333609
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10010325910
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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
Beber, Alessandro; Pagano, Marco - C.E.P.R. Discussion Papers - 2009
liquidity, especially for stocks with small market capitalization, high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10008474510