Effectiveness of Short Sales Bans in Spain
DOI:
https://doi.org/10.46661/revmetodoscuanteconempresa.2776Keywords:
mercados financieros, ventas en corto, Ibex 35, rentabilidad, volatilidad, volumen de negociación, stock markets, short selling, profitability, volatility, trading volume.Abstract
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.
Downloads
References
Aitken, M. J.; Frino, A.; McCorry, M. S. y Swan, P. L. (1998). Short sales are almost instantaneously bad news: Evidence from the Australian Stock Exchange. The Journal of Finance, 53(6), 2205-2223.
Albert, R. L.; Smaby, T. R. y Robison, H. D. (1997). Short selling and trading abuses on Nasdaq. Financial Services Review, 6(1), 27-39.
Angel, J. J. y McCabe, D. M. (2009). The business ethics of short selling and naked short selling. Journal of Business Ethics, 85 (Suppl 1), 239-249.
Arnold, T.; Butler, A. W.; Crack, T. F. y Zhang, Y. (2005). The information content of short interest: A natural experiment. The Journal of Business, 78(4), 1307-1336.
Beber, A. y Pagano, M. (2013). Short‐selling bans around the world: Evidence from the 2007–09 crisis. The Journal of Finance, 68(1), 343-381.
Blau, B. M. y Wade, C. (2012). Informed or speculative: Short selling analyst recommendations. Journal of Banking & Finance,36(1), 14-25.
Boulton, T.J. y Braga-Alves, M.V. (2012). Naked short selling and market returns. The Journal of Portfolio Management, 38(3), 133-142.
Bowlin, L. y Rozeff, M. S. (1987). Do specialists' short sales predict returns? The Journal of Portfolio Management, 13(3), 59-63.
Brent, A.; Morse, D. y Stice, E. K. (1990). Short interest: Explanations and tests. Journal of Financial and Quantitative Analysis, 25(2), 273-289.
Bris, A.; Goetzmann, W.N. y Zhu, N., (2004). Short sales in global perspective. En: F. J. Fabozzi (ed.), Short Selling: Strategies, Risks and Rewards,(pp. 323-344), New Jersey: John Wiley & Sons.
Bris, A.; Goetzmann, W. N. y Zhu, N. (2007). Efficiency and the bear: Short sales and markets around the world. The Journal of Finance, 62(3), 1029-1079.
Chen, M. y Zheng, Z. (2009). The impact of short selling on the volatility and liquidity of stock markets: Evidence from Hong Kong Market. En: F. H. Wen, L. Yu, Y. H. Wang, Z. Ye y S. Y. Wang (eds.), Advances in Business Intelligence and Financial Engineering (pp. 252-258), París: Atlantis Press.
CNMV (2011a). Acuerdo de la CNMV en relación con las posiciones cortas sobre acciones españolas del sector financiero. Madrid, 11 de agosto 2011. Recuperado de http://www.cnmv.es/Portal_Documentos/AlDia/short%20ban.pdf.
CNMV (2011b). Informe anual sobre los mercados de valores y su actuación 2011. Madrid: Comisión Nacional del Mercado de Valores. Recuperado de https://www.cnmv.es/DocPortal/Publicaciones/Informes/IA2011_Web.pdf.
CNMV (2012a). La CNMV levanta la prohibición cautelar de constituir o incrementar posiciones cortas sobre acciones españolas del sector financiero. Madrid, 15 de febrero 2012. Recuperado de https://www.cnmv.es/loultimo/levantamiento%20posiciones%20cortas.pdf.
CNMV (2012b). Acuerdo de la CNMV para la prohibición cautelar de realizar operaciones sobre valores e instrumentos financieros que supongan la constitución o incremento de posiciones cortas netas sobre acciones españolas. Madrid, 23 de Julio 2012. Recuperado de https://www.cnmv.es/portal/verDoc.axd?t={f352a913-a788-44de-94b2-4210ffbb93a5}.
CNMV (2012c). Informe anual sobre los mercados de valores y su actuación 2012. Madrid: Comisión Nacional del Mercado de Valores. Recuperado de https://www.cnmv.es/DocPortal/Publicaciones/Informes/IA2012_Web.pdf.
CNMV (2013). Decisión de la CNMV de no prorrogar el acuerdo adoptado en 1 de noviembre de 2012 de imponer restricciones sobre las ventas en corto y operaciones similares al amparo del artículo 85.2J de la LMV y del artículo 20 del reglamento (UE) nº 236/2012. 31 de enero de 2013. Recuperado de https://www.cnmv.es/portal/verDoc.axd?t={2f5635c7-bc4f-4c11-a775-90010dccbf57}.
Diamond, D. W. y Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
Faulkner, M. C. (2006). Introducción al préstamo de valores. Madrid: CIFF y Banco Santander.
Fields, M. J. (1933). Speculation and the growing instability of stock prices. The American Economic Review, 23(4), 650-660.
Financial Services Authority (2009). Short Selling. FSA’s Discussion Paper 09/1, 74 pp. Recuperado de http://www.fsa.gov.uk/Pages/Library/Policy/DP/2009/09_01.shtml.
Gómez, R. (2012). El préstamo de valores en España: Relevancia de la venta en corto y el estado de ánimo de los inversores en la rentabilidad de la Bolsa Española. Madrid: Académica Española.
Gup, B. E. (1973). A note on stock market indicators and stock prices. Journal of Financial and Quantitative Analysis, 8(4), 673-682.
Hanna, M. (1968). Short interest: Bullish or bearish? – Comment. The Journal of Finance, 23(3), 520-523.
Hanna, M. (1976). A stock price predictive model based on changes in ratios of short interest to trading volume. Journal of Financial and Quantitative Analysis, 11(5), 857-872.
Ko, K. y Lim, T. (2006). Short selling and stock prices with regime switching in the absence of market makers: The case of Japan. Japan and the World Economy, 18(4), 528-544.
Mayor, T. H. (1968). Short trading activities and the price of equities: Some simulation and regression results. Journal of Financial and Quantitative Analysis, 3(3), 283-298.
McDonald, J. G. y Baron, D. C., (1973). Risk and return on short positions in common stocks. The Journal of Finance, 28(1), 97-107.
Nagel, S. (2005). Short sales, institutional investors and the cross-section of stock returns. Journal of Financial Economics, 78(2), 277-309.
Real Decreto-Ley 2/2012, de 3 de febrero, de saneamiento del sector financiero. Boletín Oficial del Estado. Madrid, núm. 30, de 4 de febrero de 2012, pp. 9889-9913.
Reglamento (UE) Nº 1095/2010 del Parlamento Europeo y del Consejo, de 24 de noviembre de 2010 por el que se crea una Autoridad Europea de Supervisión (Autoridad Europea de Valores y Mercados), se modifica la Decisión nº 716/2009/CE y se deroga la Decisión 2009/77/CE de la Comisión (Valores). Diario Oficial de la Unión Europea, L331, de 15 de diciembre de 2010, pp. 84-119.
Saastamoinen, J. y Suhonen, N. (2013). Were the European short selling bans of 2011 effective? Economics Bulletin, 33(3), 1847-1851.
Saffi, P.A.C. y Sigurdsson, K., (2011). Price efficiency and short selling. The Review of Financial Studies, 24(3), 821-852.
Senchack, A. J. y Starks, L. T. (1993). Short-sale restrictions and market reaction to short-interest announcements. Journal of Financial and Quantitative Analysis, 28(2), 177-194.
Seneca, J. J. (1967). Short interest: Bearish or bullish? The Journal of Finance, 22(1), 67-70.
Smith, R. D. (1968). Short interest and stock market prices. Financial Analysts Journal, 24(6), 151-154.
USSEC (2008). SEC halts short selling of financial stocks to protect investors and markets. Washington D.C., 19 de septiembre 2008. Recuperado de https://www.sec.gov/news/press/2008/2008-211.htm.
Kot, H. W. (2007). What determines the level of short-selling activity? Financial Management, 36(4), 123-141.
Woolridge, J. R. y Dickinson, A. (1994). Short selling and common stock prices. Financial Analysts Journal, 50(1), 20-28.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2018 Journal of Quantitative Methods for Economics and Business Administration
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Submission of manuscripts implies that the work described has not been published before (except in the form of an abstract or as part of thesis), that it is not under consideration for publication elsewhere and that, in case of acceptance, the authors agree to automatic transfer of the copyright to the Journal for its publication and dissemination. Authors retain the authors' right to use and share the article according to a personal or instutional use or scholarly sharing purposes; in addition, they retain patent, trademark and other intellectual property rights (including research data).
All the articles are published in the Journal under the Creative Commons license CC-BY-SA (Attribution-ShareAlike). It is allowed a commercial use of the work (always including the author attribution) and other derivative works, which must be released under the same license as the original work.
Up to Volume 21, this Journal has been licensing the articles under the Creative Commons license CC-BY-SA 3.0 ES. Starting from Volume 22, the Creative Commons license CC-BY-SA 4.0 is used.
