Short-selling ban and cross-sectoral contagion: Evidence from the UK
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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Yn: Journal of Asset Management, Cyfrol 16, Rhif 7, 01.12.2015, t. 484-501.
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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TY - JOUR
T1 - Short-selling ban and cross-sectoral contagion
T2 - Evidence from the UK
AU - Mohamad, A.
AU - Jaafar, Aziz
AU - Goddard, J.A.
PY - 2015/12/1
Y1 - 2015/12/1
N2 - The UK's Financial Services Authority introduced a ban on the short-selling of specified financial-sector stocks in September 2008. The regulator's stated objectives were to protect market quality, stabilise the market for financial-sector stocks, and prevent cross-sectoral contagion. We analyse the price, market quality and contagion effects following the imposition of the short-selling ban, and its removal in January 2009. We report evidence consistent with a short-lived overpricing (underpricing) effect immediately after the ban was imposed (lifted). There is evidence of deterioration in market quality while the ban was in force. There is evidence of cross-sectoral contagion from the financial sector to the telecommunication sector immediately before the imposition of the ban, but there is no contagion for seven other non-financial sectors. There is no evidence of contagion while the ban was in force. In terms of preventing cross-sectoral contagion, the ban may be seen as a successful governance mechanism in the regulator's toolbox.
AB - The UK's Financial Services Authority introduced a ban on the short-selling of specified financial-sector stocks in September 2008. The regulator's stated objectives were to protect market quality, stabilise the market for financial-sector stocks, and prevent cross-sectoral contagion. We analyse the price, market quality and contagion effects following the imposition of the short-selling ban, and its removal in January 2009. We report evidence consistent with a short-lived overpricing (underpricing) effect immediately after the ban was imposed (lifted). There is evidence of deterioration in market quality while the ban was in force. There is evidence of cross-sectoral contagion from the financial sector to the telecommunication sector immediately before the imposition of the ban, but there is no contagion for seven other non-financial sectors. There is no evidence of contagion while the ban was in force. In terms of preventing cross-sectoral contagion, the ban may be seen as a successful governance mechanism in the regulator's toolbox.
U2 - 10.1057/jam.2015.32
DO - 10.1057/jam.2015.32
M3 - Article
VL - 16
SP - 484
EP - 501
JO - Journal of Asset Management
JF - Journal of Asset Management
SN - 1470-8272
IS - 7
ER -