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La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)

  • Lisa Mattioli
  • Riccardo Ferretti

    ()

On September 2008, Consob banned the short-selling of financial stocks in the Italian equity market. We analyse the effect of these bans on liquidity, returns, volatility and market efficiency comparing a sample of 23 financial stocks with a control group. The analysis shows a reduction in liquidity for the banned stocks and no significant differences in returns, volatility and market efficiency between the two groups, testifying the inability of restrictions to achieve the purpose for which they were introduced.

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Paper provided by Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" in its series Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) with number 13081.

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Length: pages 27
Date of creation: Aug 2013
Date of revision:
Handle: RePEc:mod:wcefin:13081
Contact details of provider: Web page: http://www.economia.unimore.it

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  1. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  2. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  3. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07071, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  4. Saffi, Pedro & Sigurdson, Kari, 2008. "Price efficiency and short selling," IESE Research Papers D/748, IESE Business School.
  5. Brunetti Marianna, 2007. "Population Ageing, Household Portfolios and Financial Asset Returns: a Survey of the Literature," Politica economica - Journal of Economic Policy (PEJEP), Società editrice il Mulino, issue 2, pages 171-208.
  6. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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