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Article
Effect of the ban on short selling on market prices and volatility
Accounting and Finance
  • Uwe Helmes, Investment Trends, Sydney
  • Julia Henker, Bond University
  • Thomas Henker, Bond University
Document Type
Journal Article
Publication Details

Citation only

Helmes, U., Henker, J., & Henker, T. (2016). Effect of the ban on short selling on market prices and volatility. Accounting and Finance.

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© 2016 AFAANZ

Abstract

We examine the effects of the short-selling ban, imposed by Australian regulators in the wake of the global financial crisis, on the trading of financial stocks. Our findings argue against commonly stated reasons for imposing short-sale bans. We find no evidence that short-sale restrictions provide support for stock prices or that they reduce volatility. Moreover, stocks subject to the short-selling ban suffered a severe degradation in market quality. Controlling for the adverse effects of the financial crisis on markets, we show that short-selling restrictions increase intraday volatility, reduce trading activity and increase bid–ask spreads.

Citation Information
Uwe Helmes, Julia Henker and Thomas Henker. "Effect of the ban on short selling on market prices and volatility" Accounting and Finance ISSN: 0810-5391
Available at: http://works.bepress.com/julia_henker/27/