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Short Selling in Emerging Markets: A Comparison of Market Performance during the Global Financial Crisisстатья
Информация о цитировании статьи получена из
Web of Science,
Scopus
Дата последнего поиска статьи во внешних источниках: 7 декабря 2013 г.
- Авторы: Maggi M., Fantazzini Dean
- Сборник: HANDBOOK OF SHORT SELLING
- Год издания: 2012
- Место издания: Elsevier Inc
- Первая страница: 339
- Последняя страница: 352
- DOI: 10.1016/B978-0-12-387724-6.00023-4
- Аннотация: This chapter reviews the main characteristics of short selling in emerging markets, discussing how short selling restrictions can affect liquidity in emerging markets and considerably slow the market recovery after a financial shock. Because of the restrictions on short selling, long positions cannot be hedged easily and, even in the case of a derivative market in place, derivatives cannot be priced efficiently. The market performance of different emerging markets are compared to see whether short selling had an effect, with particular attention to the ongoing global financial crisis. The findings showed that the mean volatility of SS (where short selling is allowed) countries is, on average, smaller than that of NSS (countries where it is not allowed) countries, except for the 2008 crisis. However, after 2008, volatility returned quickly to previous levels in SS countries, while this has not been the case for NSS countries. The average Sharpe ratios for NSS countries were generally better than those of SS countries before 2008, but after that year, the Sharpe ratios for SS countries have recovered much faster than those for NSS countries. Returns skewness tends to be much more variable in NSS countries than in SS countries, while the average kurtosis for SS countries returns is lower than that of NSS countries. Finally, it can be concluded that the frequencies of extreme returns and average annual maximum drawdowns are lower for SS countries than for NSS countries. Thus restricting or banning short selling practices condemns the market to a much slower recovery and a lower liquidity, which can fatally limit its operation and slowly make it irrelevant for the local economy. В© 2012 Elsevier Inc. All rights reserved.
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