IIUM Repository (IREP)

Short-selling ban and cross-sectoral contagion: evidence from the UK

Mohamad, Azhar and Jaafar, Aziz and Goddard, John (2012) Short-selling ban and cross-sectoral contagion: evidence from the UK. In: Sixty-First Annual Meeting of the Midwest Finance Association, 22 - 25 February 2012, New Orleans, USA. (Unpublished)

[img] PDF (Conference Papers: Short Selling Ban and Cross Sectoral Contagion: Evidence from the UK) - Submitted Version
Restricted to Repository staff only

Download (1MB) | Request a copy
[img] PDF (MFA New Orleans Acceptance Letter) - Supplemental Material
Restricted to Repository staff only

Download (62kB) | Request a copy
[img] PDF (MFA New Orleans Program Book) - Supplemental Material
Restricted to Repository staff only

Download (314kB) | Request a copy

Abstract

The UK’s Financial Services Authority (FSA) 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, stabilize 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 prior to 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.

Item Type: Conference or Workshop Item (Full Paper)
Additional Information: 3334/28464
Subjects: H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Dr Azhar Mohamad
Date Deposited: 13 Jan 2013 17:58
Last Modified: 13 Feb 2013 21:54
URI: http://irep.iium.edu.my/id/eprint/28464

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year