The cross market effects of short sale restrictions
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Dungey, Mardi
McKenzie, Michael D
Yalama, Abdullah
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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
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North American Journal of Economics and Finance
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2037-12-31
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