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Testing of Short Sale Hypotheses on NYSE

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LINNERTOVÁ Dagmar

Rok publikování 2016
Druh Článek ve sborníku
Konference Procedia Social and Behavioral Sciences
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
Doi http://dx.doi.org/10.1016/sbspro.2016.05.498
Obor Řízení, správa a administrativa
Klíčová slova short sale hypotheses; panel regression; NYSE; regulation
Popis The purpose of this paper is to investigate the validity of short sale hypotheses in the NYSE in the period 1990-2015. The short sale has been regulated in the U.S. market from the 1930s by so called up-tick rules and other legal acts. The aim of this regulation was to prevent short sellers from adding to the downward momentum when the price of an asset was already experiencing sharp declines. During 1990s the short sale regulations changed for several times. In this paper the short sale determinants are investigated using variables that correspond with short selling hypotheses in the period from 1990 to 2015. As short sale regulation has changed during that period these determinants are also observed in particular sub-periods represent different legal regulations of short selling activity. (C) 2016 The Authors. Published by Elsevier Ltd.
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