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@inproceedings{1355893,
author = {Linnertová, Dagmar},
address = {BRATISLAVA},
booktitle = {PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE},
editor = {Kotlebova, J},
keywords = {price discovery; short sale; Germany},
howpublished = {tištěná verze "print"},
language = {eng},
location = {BRATISLAVA},
isbn = {978-80-225-4362-0},
pages = {188-193},
publisher = {EKONOM},
title = {Impact and Evaluation of Short Sale Ban Imposed on European Stocks},
year = {2017}
}
TY - JOUR
ID - 1355893
AU - Linnertová, Dagmar
PY - 2017
TI - Impact and Evaluation of Short Sale Ban Imposed on European Stocks
PB - EKONOM
CY - BRATISLAVA
SN - 9788022543620
KW - price discovery
KW - short sale
KW - Germany
N2 - The problem of short sale is a popular issue of stock trading and efficient pricing. Most restrictions of short sale are triggered by strong downward stock market and lifted after market recovery. In 2010 European authorities have responded to the debt crisis by adopting several bans on short selling. These bans have been imposed individually along European countries by particular market regulators. Short selling restrictions have several forms and can affect the trading process, stocks or market participant. The paper studies the quality of price discovery in the selected EU capital market before and during this short sale regulation. The aim of the paper is to investigate aspects of recent short selling regulations on German market. The methodology is based on Merck, Yeung, and Yu (MYY) (2000), more efficient markets can be expressed to have more idiosyncratic risk, since the ratio of firm-specific information to market level information is likely to be higher in informational environments. MYY is used to investigate the potential asymmetry in price adjustments. Using this method changes in the level of systematic risk were founded when short sale was constrained.
ER -
LINNERTOVÁ, Dagmar. Impact and Evaluation of Short Sale Ban Imposed on European Stocks (Impact and evaluation of short sale ban imposed on European stocks). In Kotlebova, J. \textit{PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE}. BRATISLAVA: EKONOM, 2017, p.~188-193. ISBN~978-80-225-4362-0.
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