The cross market effects of short sale restrictions

Mardi Dungey; Michael D McKenzie; Abdullah Yalama

doi:10.1016/j.najef.2013.06.001

The cross market effects of short sale restrictions

Mardi Dungey, Michael D McKenzie, Abdullah Yalama

Research output: Contribution to journal › Article

Abstract

This paper considers the impact of the 2008 short selling bans on the cross-market dynamics of stock indices across a wide range of countries. We measure the transmission of shocks between markets using a modified version of the spillover index of Diebold

Original language	English
Pages (from-to)	53-71
Journal	North American Journal of Economics and Finance
Volume	26
DOIs	https://doi.org/10.1016/j.najef.2013.06.001
Publication status	Published - 2013

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10.1016/j.najef.2013.06.001

http://hdl.handle.net/1885/73681

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title = "The cross market effects of short sale restrictions",

abstract = "This paper considers the impact of the 2008 short selling bans on the cross-market dynamics of stock indices across a wide range of countries. We measure the transmission of shocks between markets using a modified version of the spillover index of Diebold",

author = "Mardi Dungey and McKenzie, {Michael D} and Abdullah Yalama",

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DO - 10.1016/j.najef.2013.06.001

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SP - 53

EP - 71

JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

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The cross market effects of short sale restrictions

Abstract

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