'Much Ado About Nothing': Short Selling Ban Effectiveness on Bank Stock Prices - Short Selling Ban Effectiveness on Bank Stock Prices (Brief Running Title)

2014 ◽  
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano ◽  
Abdelmoneim Youssef
Keyword(s):  
Stock Prices ◽  
Short Selling ◽  
Much Ado About Nothing ◽  
Bank Stock

scholarly journals "Much ado about nothing": Short selling ban effectiveness on bank stock prices

2014 ◽  
Vol 4 (4) ◽  
pp. 48-60
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano ◽  
Abdelmoneim Youssef
Keyword(s):  
Stock Prices ◽  
Systematic Risk ◽  
Equity Markets ◽  
Short Selling ◽  
Much Ado About Nothing ◽  
The World ◽  
Bank Stock ◽  
Using Data ◽  
The Impact ◽  
Matching Techniques

Most regulators around the world reacted to the 2007-09 crisis by imposing bans on short selling. Using data from seven equity markets, this study empirically examines the impact of the 2008 short-selling bans on financial stocks. Using panel and matching techniques, evidence indicates that bans on short-selling (i) on the whole widen volatility both in terms of High-Low spread and GARCH analysis, (ii) were not able to reduce systematic risk, (iii) overall failed to support prices. On the whole our results are in line with previous literature.

scholarly journals From time series analysis to a modified ordinary differential equation

2018 ◽  
Vol 12 (2) ◽  
pp. 85-90
Author(s):  
Meiyu Xue ◽  
Choi-Hong Lai
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Time Series ◽  
Time Series Analysis ◽  
Stock Prices ◽  
Time Frame ◽  
Equation Approach ◽  
Advantages And Disadvantages ◽  
Series Analysis ◽  
Bank Stock

In understanding Big Data, people are interested to obtain the trend and dynamics of a given set of temporal data, which in turn can be used to predict possible futures. This paper examines a time series analysis method and an ordinary differential equation approach in modeling the price movements of petroleum price and of three different bank stock prices over a time frame of three years. Computational tests consist of a range of data fitting models in order to understand the advantages and disadvantages of these two approaches. A modified ordinary differential equation model, with different forms of polynomials and periodic functions, is proposed. Numerical tests demonstrated the advantage of the modified ordinary differential equation approach. Computational properties of the modified ordinary differential equation are studied.

Short Selling and Price Pressures in the Korean Stock Market

2015 ◽  
Vol 23 (2) ◽  
pp. 265-287
Author(s):  
Yeongseop Rhee ◽  
Sang Buhm Hahn
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Short Selling ◽  
Market Liquidity ◽  
Dynamic Panel Model ◽  
Market Sentiment ◽  
Order Imbalance ◽  
Price Decline ◽  
Korean Stock Market

This paper examines short-selling activity focusing on its behavior during non-normal times of occasional excesses in the Korean stock market. Using the methodology explained by Brunnermeier and Pederson (2005) and Shkilko et al. (2009; 2012), we first examine whether short-selling is predatory on those event days of large price reversals. Overall there is little predatory abnormal short-selling in the pre-rebound phase and we can observe active contrarian short-selling in the post-rebound phase. When we compared aggressiveness between short-selling and non-short-selling using order imbalance variables, we found that non-short selling is much more aggressive than short selling in the Korean stock market. From the observation of market liquidity measured by quoted spreads, we could find that market liquidity is somewhat limited during price decline stages while it slightly improves during price reversal phases. Also, using dynamic panel model, we test the influences of those variables on stock price changes and disaggregate the compound effect of short-selling reflected in trading volume itself into differentiated ones not only through pure trading channel but also through other complicated channels such as market sentiment change. Main findings from the regression results are as follows : In the Korean stock market, short sellers seem to behave as a contrarian trader rather than a momentum trader; seller-initiated aggressive trading, whether it is by short-selling or non-short-selling, leads to negative order imbalance and price decline; market liquidity is limited by short-selling and further pressure on price decline is added in the pre-rebound stage; and stock prices are affected not only through pure selling (buying) channel but also through other channels in the Korean stock market.

The reaction of bank stock prices to news of derivatives losses by corporate clients

1999 ◽  
Vol 23 (12) ◽  
pp. 1725-1743 ◽  
Author(s):  
Joseph F. Sinkey, Jr ◽  
David A. Carter
Keyword(s):  
Stock Prices ◽  
Bank Stock ◽  
Corporate Clients

scholarly journals FUNDAMENTALS OF INTEGRATED COMMERCIAL BANK IN MACROECONOMIC AND SHARIA PERSPECTIVE IN INDONESIA

2018 ◽  
Vol 3 (2) ◽  
pp. 349-387
Author(s):  
Kumara Jati ◽  
Aziza Rahmaniar Salam
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Commercial Bank ◽  
Stock Prices ◽  
Stock Price ◽  
Vector Autoregression ◽  
Share Price ◽  
Fasting Period ◽  
Goods And Services ◽  
Bank Stock

This research analyses the fundamentals of integrated commercial bank in macroeconomic and sharia perspective in Indonesia. Based on the calculation of Vector Autoregression (VAR), the impact of macroeconomic variables (Jakarta Stock Islamic Index / JKSII, Indonesian Stock Price Composite Index / JKSE, Crude Oil Price, and Exchange Rate)  on stock prices of commercial banks vary. These shocks indicate an indirect price transmission through exchange rate channels and economic growth. From the Structrural Time Series Model (STSM), JKSII, JKSE, and commercial bank share price prediction will generally increase at the end of 2017 and 2018. This will generate hope and benefit for policy maker and business actors in the banking, finance and sharia sectors. In general, the ARMA-ARCH/GARCH model with dummy variables found negative impact of “Fasting Period and Eid Al-Fitr” on return of JKSII, JKSE, and commercial bank stock price. This indicates a cycle of stock price decline that occurs when consumers spend more money to purchase goods and services. However, this cycle of stock price declines is only temporary because the recovery of the world economy and the increase in demand for goods and services in the future can be a pull factor for stock prices (demand factor). Policy makers and stakeholders related to the financial system, banking and capital markets, especially the sharia sector need to see the movement of conventional bank stocks and “Fasting Period and Eid Al-Fitr” as they move in the opposite direction for a certain period.   Keywords: Stock Price of Commercial Bank, Macroeconomic and Sharia Perspective, Vector Autoregression (VAR), Structural Time-Series Models (STSM), ARMA-ARCH/GARCH   JEL Classification Codes: F31, F47, G15, G21

scholarly journals Short Selling and Firms' Disclosure of Bad News: Evidence from Regulation SHO

2019 ◽  
Vol 4 (1) ◽  
pp. 1-23 ◽  
Author(s):  
Gregory J. Clinch ◽  
Wei Li ◽  
Yunyan Zhang
Keyword(s):  
Stock Prices ◽  
Short Selling ◽  
Bad News ◽  
Good News ◽  
Management Forecasts ◽  
Timely Manner ◽  
Short Sellers ◽  
Informed Traders ◽  
Sec Regulation ◽  
Reputational Costs

As informed traders, short sellers enhance the informativeness of stock prices, especially related to bad news, potentially reducing the benefits and increasing litigation and reputational costs of withholding bad news by managers. We exploit a quasi-natural experimental setting provided by the introduction of SEC regulation SHO (Reg-SHO), which significantly reduced the constraints faced by short sellers for an effectively randomly selected subsample of U.S. firms (pilot firms). Relative to control firms, we find pilot firms increase the likelihood of voluntary bad news management forecasts, provide these forecasts in a more timely manner, and accelerate the release of quarterly bad earnings news. Each of these effects is stronger for subsamples of moderate (compared with extreme) bad news, firms facing high (relative to low) litigation risks, and firms with a forecasting history. Similar effects are not observed for voluntary good news forecasts. A range of robustness tests reinforce our results. JEL Classifications: G14; D22; K22; K41; M40.

Short-Selling and Information Arrival around Earnings Announcements: Evidence from Regulation SHO

2021 ◽  
Author(s):  
Greg Clinch ◽  
Wei Li
Keyword(s):  
Stock Prices ◽  
Earnings Announcements ◽  
Public Information ◽  
Short Selling ◽  
Price Informativeness ◽  
The Public ◽  
Short Sellers ◽  
Information Release ◽  
Negative News ◽  
Shed Light

Short sellers assist in impounding negative news more quickly into stock prices and improve price informativeness. However, there is a lack of consistent evidence about whether short sellers trade predominantly in anticipation of, or in response to, a public information release. To shed light on this question, we exploit Reg SHO, which reduced the constraints faced by short sellers for a subsample of U.S. firms, to examine price informativeness before, during and after earnings announcements. We show that relative to control firms, pilot firms have greater (less) price informativeness before (during) earnings announcements, suggesting that short sellers trade in anticipation of public earnings news, rather than in response to the public news.

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