The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets
Journal of Asset Management
; : 16, 2022.
Article
in English
| Web of Science | ID: covidwho-1665750
ABSTRACT
This study looks at the inefficiency of stock indices of France, Italy, and Spain around their financial regulatory authorities' short-sale ban during the COVID-19 pandemic crisis. The empirical analysis of this study provides evidence of price predictability of the basis of futures contract prior to the short-sale restriction. Moreover, the results show a significant underpricing in futures contracts of FTSE MIB and IBEX35 indices while the two months of short-sale banned period. These findings suggest that prohibiting short selling during the market downturn might undermine the stock markets' efficiency and generate arbitrage opportunities for speculative investors.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
Journal of Asset Management
Year:
2022
Document Type:
Article
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