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Eficacia de las prohibiciones de las ventas en corto en Espa–a || Effectiveness of Short Sales Bans in Spain

Author

Listed:
  • G—mez Mart’nez, Raœl

    (Departamento de Econom’a de la Empresa, Universidad Rey Juan Carlos (España))

  • Paule Vianes, Jessica

    (Departamento de Econom’a de la Empresa, Universidad Rey Juan Carlos (Espa–a))

  • Martínez Naval—n, Juan Gabriel

    (Departamento de Economía de la Empresa, Universidad Rey Juan Carlos (Espa–a))

Abstract

Este trabajo estudia la influencia que han tenido en Espa–a las prohibiciones de ventas en corto en su mercado burs‡til, siendo su objetivo conocer si dicha medida correctiva verdaderamente ha presentado efectos positivos en el mercado. Para determinar dicha influencia, hemos estudiado la rentabilidad, el riesgo y la liquidez del Ibex 35 en el periodo comprendido entre el 11 de noviembre de 2008 y el 31 de mayo de 2013, diferenciando en este periodo las dos restricciones establecidas en Espa–a durante la crisis. Para medir el impacto de estas prohibiciones, se han dise–ado modelos economŽtricos de regresi—n lineal entre el volumen de prŽstamo de valores y rentabilidad del Ibex 35, lleg‡ndose a la conclusi—n de que las prohibiciones de las ventas en corto implantadas no han corregido las ca’das en las cotizaciones y la volatilidad. Se observa, sin embargo, un significativo descenso en el volumen de negociaci—n durante los periodos en los que la prohibici—n estaba vigente. || This paper studies the influence of short sales bans on the Spanish stock market, and its objective is to know if this corrective measure has had positive effects on the market. To determine this influence, we have studied the profitability, risk and liquidity of Ibex 35 in the period between November 11, 2008 and May 31, 2013, distinguishing in this period between the two restrictions established in Spain during the crisis. To measure the impact of these bans, econometric linear regression models have been designed between securities lending volume and profitability of Ibex 35, concluding that the bans on short sales implemented have not corrected the falls in quotations or the volatility. However, there is a significant decrease in the volume of trading during the ban periods.

Suggested Citation

  • G—mez Mart’nez, Raœl & Paule Vianes, Jessica & Martínez Naval—n, Juan Gabriel, 2018. "Eficacia de las prohibiciones de las ventas en corto en Espa–a || Effectiveness of Short Sales Bans in Spain," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 250-268, Diciembre.
    • Handle: RePEc:pab:rmcpee:v:26:y:2018:i:1:p:250-268
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    References listed on IDEAS

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    More about this item

    Keywords

    mercados financieros; ventas en corto; Ibex 35; rentabilidad; volatilidad; volumen de negociación; stock markets; short selling; Ibex 35; profitability; volatility; trading volume.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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