Short Sale Bans and their Impact on the Microstructure of Equity Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Short Sale Bans and their Impact on the Microstructure of Equity Markets PDF full book. Access full book title Short Sale Bans and their Impact on the Microstructure of Equity Markets by Moritz Wiebke. Download full books in PDF and EPUB format.
Author: Moritz Wiebke
Publisher: GRIN Verlag
ISBN: 3346395626
Category : Business & Economics
Languages : en
Pages : 65
Get Book Here
Book Description
Master's Thesis from the year 2020 in the subject Economics - Finance, grade: 1,0, University of Vienna (Fakultät für Wirtschaftswissenschaften), language: English, abstract: This paper investigates the impact of short sale bans on the market microstructure of equity markets by focusing on three major stock market characteristics: (How) did the ban affect stock liquidity, (how) did the ban influence price efficiency, and did the regulators manage to stabilize stock prices by imposing short sale bans? On March 12, 2020, the EURO STOXX 50, the major European stock index declined by more than 12% - the largest loss ever reported on a single day since index inception in 1986. Other major stock indices around the globe experienced a similar drop. The Covid-19 crisis was about to hit and there was great uncertainty among investors, reflected by very volatile stock markets. The corresponding volatility index VSTOXX had its peak on March 16, 2020, with an implied volatility of 86%. To stabilize capital markets and restore the confidence of investors during volatile times, regulators can make use of temporary bans on short sales, i.e., restricting investors in their ability to profit from declining stock prices. This was the case in numerous countries during the financial crisis in 2007-09.
Author: Moritz Wiebke
Publisher: GRIN Verlag
ISBN: 3346395626
Category : Business & Economics
Languages : en
Pages : 65
Get Book Here
Book Description
Master's Thesis from the year 2020 in the subject Economics - Finance, grade: 1,0, University of Vienna (Fakultät für Wirtschaftswissenschaften), language: English, abstract: This paper investigates the impact of short sale bans on the market microstructure of equity markets by focusing on three major stock market characteristics: (How) did the ban affect stock liquidity, (how) did the ban influence price efficiency, and did the regulators manage to stabilize stock prices by imposing short sale bans? On March 12, 2020, the EURO STOXX 50, the major European stock index declined by more than 12% - the largest loss ever reported on a single day since index inception in 1986. Other major stock indices around the globe experienced a similar drop. The Covid-19 crisis was about to hit and there was great uncertainty among investors, reflected by very volatile stock markets. The corresponding volatility index VSTOXX had its peak on March 16, 2020, with an implied volatility of 86%. To stabilize capital markets and restore the confidence of investors during volatile times, regulators can make use of temporary bans on short sales, i.e., restricting investors in their ability to profit from declining stock prices. This was the case in numerous countries during the financial crisis in 2007-09.
Author: Martin T. Bohl
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages :
Get Book Here
Book Description
"Surprisingly, little is known about the effects of short-sale constraints on herd behaviour. Since institutional investors have come to dominate mature stock markets and rely extensively on short sales, constraining these traders may influence the asset pricing process. The literature on short-selling restrictions focusses mainly on a ban's impact on market efficiency, liquidity and overpricing. The authors examine bans on selected financial stocks in six countries during the 2008-2009 global financial crisis, which provided a setting to analyze the impact of short-sale restrictions. In particular, the authors focussed on short-sale constraints' effect on institutional investors' trading behaviour and the possibility of generating herding behaviour. They conclude that the empirical evidence shows that short-selling restrictions exhibit either no influence on herding formation or induce adverse herding." --
Author: Binod Chongbang
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
Get Book Here
Book Description
Most of the financial regulators around the world such as ASIC, FSMA, CSRC, AMF, FFSA, FCA, SEC reacted to the 2007-09 turmoil and 2011 Greek debt crisis by imposing short sales restrictions. These series of events held and elevated at different dates and in different nations based on various sets of stocks featuring degree of severity. This paper examined several findings of research on shorting bans and its impacts to the security market in different aspects such as stock price and its behavior during ban, price discovery and the liquidity. It is also found that during the ban, activity related to shorting dropped by 77% and smallest stocks that was related to the ban underwent severely in market quality based on spreads, intraday volatility and price impacts. Those stocks, which are listed, did not provide any price impact but during the whole banning period it was underperforming constantly. Evidences portrays that the shorting ban did not generate any simulated improve in prices.
Author: Bouchra Benzennou
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 0
Get Book Here
Book Description
This thesis investigates aspects of the market microstructure of single stock futures (SSF) and equity options. The first empirical chapter studies the intraday patterns of time-weighted bid-ask spreads, volatility, and the number of quotes. For SSF contracts traded in London and Lisbon, the chapter reports statistical evidence of intraday features in the three variables. The overall results reveal U-shapes in spreads, volatility (except for the Lisbon market), and the number of quotes, implying a concentrated demand to trade and an increase in order execution costs at the open and close, as spreads are wider and volatility is higher. Moreover, the chapter's results suggest that the impact of US news announcements is evident in the London SSF market, causing it to be less liquid and more volatile.The second investigation tests the hypothesis that traders use SSF as a substitute instrument for short-selling, in which case they will shift to SSF trading when short-sales are banned. A significant increase in the trading activity of SSF in the London market during the 2008-9 ban period is documented, accompanied by narrower spreads, i.e. higher liquidity. Volatility did not react to the ban which suggests that the increase in trading activity did not weaken SSF market quality. The quality of the underlying market in the presence of SSF is also assessed and the results suggest that SSF neither improve nor worsen the underlying assets' liquidity, volatility and volume over the ban period. The findings offer important insights into the effectiveness of regulatory interventions on short-selling.The third empirical chapter investigates the existence of common aggregate factors driving liquidity across different markets. The evidence suggests that liquidity across different European equity options markets co-moves. Similar results are observed for commonality in liquidity across options and SSF markets, implying that liquidity in different derivative markets concurrently moves in the same direction. These findings are relevant to investors when timing their hedging, speculation, or arbitrage strategies.
Author: United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Publisher:
ISBN:
Category : Consumer protection
Languages : en
Pages : 880
Get Book Here
Book Description
Author: Caroline Fohlin
Publisher:
ISBN:
Category : COVID-19 Pandemic, 2020-
Languages : en
Pages : 0
Get Book Here
Book Description
In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential impacts of bans on stock liquidity, prices, and volatility. Results suggest that bans improved liquidity and stabilized prices for illiquid stocks but temporarily diminished liquidity for highly liquid stocks. The findings support theories in which short sale bans may improve liquidity by selectively filtering out informed -- potentially predatory -- traders. Thus, policies that target the most illiquid stocks may deliver better overall market quality than uniform short sale bans imposed on all stocks.
Author: Edmund Jörg
Publisher: BoD – Books on Demand
ISBN: 3757899989
Category : Business & Economics
Languages : en
Pages : 66
Get Book Here
Book Description
"Greed for Short Selling" describes an interesting sub-sector of the securities business, which has gained considerably in importance especially since the establishment of futures and options exchanges at the beginning of the 1990s. Short selling is presented in theory and practice, showing its integration into the securities business and the requirements associated with it. Let me tell you how things go together in banking, stock exchange and securities business and explain which problems exist, it questions, it is trying to giving answers and showing solutions.
Author: Hazem Daouk
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
Get Book Here
Book Description
This paper contributes empirical evidence to the debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for empirical of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to permit short-selling, aggregate stock price increases, implying a cost of capital. There is no evidence that short-sale restrictions affect either the level of skewness of returns or the probability of a market crash. Collectively, our empirical evidence shows that allowing short sales improves market quality.
Author: Thierry Foucault
Publisher: Oxford University Press
ISBN: 0197542069
Category : Capital market
Languages : en
Pages : 531
Get Book Here
Book Description
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author: Joel Hasbrouck
Publisher: Oxford University Press
ISBN: 0198041306
Category : Business & Economics
Languages : en
Pages : 209
Get Book Here
Book Description
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
