The cross market effects of short sale restrictions

Mardi Dungey, Michael D McKenzie, Abdullah Yalama

    Research output: Contribution to journalArticle

    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 languageEnglish
    Pages (from-to)53-71
    JournalNorth American Journal of Economics and Finance
    Volume26
    DOIs
    Publication statusPublished - 2013

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