Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
Palabras clave : 
Materias Investigacion::Economía y Empresa
Short-sales constraints
Financial stability
Financial institutions
Credit default swap
Contagion
Fecha de publicación: 
2012
Cita: 
Arce, O. (Óscar); Mayordomo, S. (Sergio). "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban". En . , 2012,
Resumen
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.
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1356050306_WP_UNAV_25_12.pdf
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