The Impact of Temporary Short-Selling Restrictions on Abnormal Stock Returns and Stock Liquidity in Greece
dc.contributor.advisor | Nolte, Sven | |
dc.contributor.author | Holder ten, Menno | |
dc.date.issued | 2020-07-15 | |
dc.description.abstract | In times of financial crises governments often turn to short-selling restrictions in order to stabilise financial market. Looking at the effectiveness of such regulation is very relevant, certainly given the fact that they are being applied again in combatting the Covid-19 crisis. Previous research shows a negative impact on abnormal returns and stock liquidity in periods of short-selling constraints in European markets. In contrast, markets in the United States (US) exhibit higher abnormal returns and lower stock liquidity. However, a recent study shows a positive impact of liquidity in times of constraints in US markets. Therefore, this thesis assesses the effects of temporary short-selling restrictions taken under the ESSR on abnormal stock returns and stock market liquidity in Greece. It is found that abnormal stock returns are negatively impacted in Greece during the constraints. Furthermore, compared to the European benchmark, abnormal returns are significantly higher in the period after the temporary ban. Secondly, the Greek stock market exhibits higher liquidity during the constraints, also compared to the European benchmark. In line with the new findings in the US financial markets. These results are robust considering both the relative bid-ask spread and absolute volume. | en_US |
dc.embargo.lift | 10000-01-01 | |
dc.embargo.type | Permanent embargo | en_US |
dc.identifier.uri | https://theses.ubn.ru.nl/handle/123456789/10166 | |
dc.language.iso | en | en_US |
dc.thesis.faculty | Faculteit der Managementwetenschappen | en_US |
dc.thesis.specialisation | Financial Economics | en_US |
dc.thesis.studyprogramme | Master Economics | en_US |
dc.thesis.type | Master | en_US |
dc.title | The Impact of Temporary Short-Selling Restrictions on Abnormal Stock Returns and Stock Liquidity in Greece | en_US |