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Testing of Short Sale Hypotheses on the U.S. Market in the Period from 1990 to 2015

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  • Dagmar Linnertová

    (The Department of Finance, the Faculty of Economics and Administration, Masaryk University, Lipová 41a, 602 00 Brno, Czech Republic)

Abstract

The purpose of this paper is to investigate the validity of short sale hypotheses the NYSE and NASDAQ in the period 1990-2015. Short has been regulated in the U.S. market since the 1930s by so-called up-tick rules and other legal acts. The aim of this regulation was to prevent short sellers from adding to the downward momentum when the price of an asset was already experiencing sharp declines. During the 1990s, short sale regulations changed several times. In this paper, panel regression is applied to investigate short sale determinants on the NYSE and NASDAQ. Short seller motivation and the results are compared with those for particular markets and sub periods that represent different legal regulations of short selling activities in the period from 1990 to 2015.

Suggested Citation

  • Dagmar Linnertová, 2016. "Testing of Short Sale Hypotheses on the U.S. Market in the Period from 1990 to 2015," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 2025-2038.
    • Handle: RePEc:mup:actaun:actaun_2016064062025
    DOI: 10.11118/actaun201664062025
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    1. repec:zbw:bofrdp:2015_003 is not listed on IDEAS
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