Short-sale constraints and efficiency of the spot–futures dynamics
AbstractThis paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008–2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price higher relative to the futures price. This suggests that holding the spot was more valuable than holding the futures during the ban period. Further, we find that the speed of adjustment has slowed down and in some cases become statistically insignificant, suggesting that arbitrage is less effective during the ban period. The results presented here have implications for regulators and traders regarding the efficiency of these markets during a short-sale ban.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 24 (2012)
Issue (Month): C ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166
Short-sale constraints; Short-selling; Arbitrage; Mispricing;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.