@article{Lee_S-2022_91297,
title = {The COVID-19 Pandemic, Short Sale Ban, and Market Efficiency: Empirical Evidence from the European Equity Markets},
author = {Lee, S.},
month = {aug},
year = {2022},
abstract = {This study looks at the inefficiency of stock indices of France, Italy, and Spain around their financial regulatory authorities’ short-sale ban during the COVID-19 pandemic crisis. The empirical analysis of this study provides evidence of price predictability of the basis of futures contract prior to the short-sale restriction. Moreover, the results show a significant underpricing in futures contracts of FTSE MIB and IBEX35 indices while the two months of short-sale banned period. These findings suggest that prohibiting short selling during the market downturn might undermine the stock markets’ efficiency and generate arbitrage opportunities for speculative investors.},
pages = {156-171 },
volume = {23 },
journal = {Journal of Asset Management},
publisher = {Springer Nature},
url = {https://doi.org/10.1057/s41260-021-00254-w},
}
