Has the short selling ban reduced liquidity in the Australian stock market?

被引：0

作者：

Hamson, Don ^{[1
]}

Wanzare, Manoj ^{[1
,2
]}

Smith, Gavin ^{[1
,3
]}

Gardner, Peter ^{[1
]}

机构：

[1] Plato Investment Management, Sydney, NSW, Australia

[2] Hachibushu Capital, Tokyo, Japan

[3] Endeavour Equities, Sydney, NSW, Australia

来源：

JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE | 2008年 / 04期

关键词：

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

By comparing a balanced sample of firms before and after the introduction of ASIC's short selling ban, we find that stock market liquidity has decreased. Intra-day volatility and idiosyncratic intra-day volatility have also increased. Investors have also been negatively affected by a slowing in the price discovery process, increases in the cost of trading and less efficient trading.

引用

页码：14 / U131

页数：7

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