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