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How does the removal of the United States short-sale rules impact three Latin American markets?

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  • Tseng, Hsiou-Ying
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    Abstract

    This study examines the intermarket effects from the removal of the United States short-sale price test on three Latin American market stocks which are cross-listed in the US market: Argentina, Brazil and Mexico. The empirical findings show that after the removal, price qualities of the Brazilian sample stocks deteriorate, implying order flow migrations from the Brazilian market to the US market, while the removal effects on the other two markets are not so significant. This paper pioneers the current work regarding the interactions of markets with respect to market integration, short-sale constraint removal and foreign listings.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 2 (March)
    Pages: 127-133

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    Handle: RePEc:eee:finana:v:19:y:2010:i:2:p:127-133

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Short-sale constraints Uptick rule Market integration Cross-listings Order flow migrations;

    References

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    14. Asli Bayar & Zeynep Onder, 2005. "Liquidity and price volatility of cross-listed French stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1079-1094.
    15. Stapleton, R C & Subrahmanyam, Marti G, 1977. "Market Imperfections, Capital Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 32(2), pages 307-19, May.
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    Cited by:
    1. Frino, Alex & Lecce, Steven & Lepone, Andrew, 2011. "Short-sales constraints and market quality: Evidence from the 2008 short-sales bans," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 225-236, August.

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