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The impact of the short-selling ban on stock performance: evidence from British stock market
|Issue Date: ||2016-05-09 11:45:29 (UTC+8)|
UK’s Financial Service Authority banned short selling on financial stocks during subprime crisis. This paper investigates the effects of short-selling restrictions on stocks’ return and volatility in the United Kingdom. After dividing the sample period into banned and no-banned period and classifying the samples into banking, financial consulting, life insurance and nonlife insurance industries, we explore the impact of short-selling restrictions using GJR-GARCH models on individual firms in different industries.
We find that stock returns of most samples in the short-selling banned period are not significantly different from the ones in the no-banned period except for a few stocks in the banking industry. However, we also find that stock volatility is significantly higher in short-selling banned period for most samples. Our results show that short-selling restrictions imposed by the U.K. government have only limited effects on stock return, but have significantly alleviated stock volatility.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0096357030|
|Data Type: ||thesis|
|Appears in Collections:||[財務管理學系] 學位論文|
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