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The cross market effects of short sale restrictions

Dungey, Mardi; McKenzie, Michael D; Yalama, Abdullah

Description

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

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/73681
Source: North American Journal of Economics and Finance
DOI: 10.1016/j.najef.2013.06.001

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