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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

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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  • Tseng, Hsiou-Ying, 2010. "How does the removal of the United States short-sale rules impact three Latin American markets?," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 127-133, March.
    • Handle: RePEc:eee:finana:v:19:y:2010:i:2:p:127-133
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    Cited by:

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    2. Valcacer, Santiago & José de Moura, Heber & Lopes , David & Amorim , Vinicius, 2017. "Capital structure management differences in Latin American and US firms after 2008 crisis," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 22(42), pages 51-74.
    3. 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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