Electronic International Standard Serial Number (EISSN)
This article analyses the effect of short-selling constraints on market volatility. Between 2011 and 2012, two different types of short-sale bans were imposed on the Spanish stock market: first, a partial ban on financial companies, and later, a total ban affecting all stocks. Using panel data and different measures of risk, we study whether both types of constraints were effective in reducing market volatility or whether there were differences between them. Our results show evidence that market volatility was reduced under both types of bans, with a more powerful effect observed under the total ban.
g12; g14; g28; volatility; partial ban; total ban; short-sale ban; short-selling constraints; world