The cross market effects of short sale restrictions

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

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The cross market effects of short sale restrictions

Date

2013

Authors

Dungey, Mardi

McKenzie, Michael D

Yalama, Abdullah

Publisher

Elsevier

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