par Bernal Diaz, Oscar ;Herinckx, Astrid;Szafarz, Ariane
Référence International review of law and economics, 37, page (244-256)
Publication Publié, 2014-03
Article révisé par les pairs
Résumé : Exploiting cross-sectional and time-series variations in European regulations during the July 2008-June 2009 period, we show that: (1) prohibition on covered short selling raises bid-ask spread and reduces trading volume, (2) prohibition on naked short selling raises both volatility and bid-ask spread, (3) disclosure requirements raise volatility and reduce trading volume, and (4) no regulation is effective against price decline. Overall, all short-sale regulations harm market efficiency. However, naked short-selling prohibition is the only regulation that leaves volumes unchanged while addressing the failure to deliver. Therefore, we argue that this is the least damaging to market efficiency. © 2013 Elsevier Inc.