Article ID Journal Published Year Pages File Type
5085081 International Review of Financial Analysis 2012 8 Pages PDF
Abstract
► Studies the effect of 2008 short-sale bans on relationship between futures and spot ► The equilibrium position is shown to have decreased during the ban period. ► Holding spot appears to have become more valuable ► We find a deceleration in speed of adjustment to equilibrium during the ban period ► The no-arbitrage bands have also moved downwards in most markets.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Short-sale constraints and efficiency of the spot-futures dynamics
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