Bullish/bearish/neutral strategies under short sale restrictions

Kwangil Bae; Jangkoo Kang; Soonhee Lee

doi:10.1016/j.jbankfin.2016.07.005

Bullish/bearish/neutral strategies under short sale restrictions

Kwangil Bae, Jangkoo Kang, Soonhee Lee

School of Business Administration

Research output: Contribution to journal › Article › peer-review

Abstract

This study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders’ strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically.

Original language	English
Pages (from-to)	227-239
Number of pages	13
Journal	Journal of Banking and Finance
Volume	71
DOIs	https://doi.org/10.1016/j.jbankfin.2016.07.005
State	Published - 1 Oct 2016

Keywords

Directional trading
Efficiency
Short sale
Skewness

Access to Document

10.1016/j.jbankfin.2016.07.005

Cite this

@article{3fcee2d9cf34463789905c50cd823e36,

title = "Bullish/bearish/neutral strategies under short sale restrictions",

abstract = "This study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders{\textquoteright} strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically.",

keywords = "Directional trading, Efficiency, Short sale, Skewness",

author = "Kwangil Bae and Jangkoo Kang and Soonhee Lee",

note = "Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",

year = "2016",

month = oct,

day = "1",

doi = "10.1016/j.jbankfin.2016.07.005",

language = "English",

volume = "71",

pages = "227--239",

journal = "Journal of Banking and Finance",

issn = "0378-4266",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Bullish/bearish/neutral strategies under short sale restrictions

AU - Bae, Kwangil

AU - Kang, Jangkoo

AU - Lee, Soonhee

PY - 2016/10/1

Y1 - 2016/10/1

N2 - This study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders’ strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically.

AB - This study investigates the effects of short sale restrictions by extending the model of Dridi and Germain (2004) and infers informed traders’ strategies and the relation between order imbalance and price thereunder. The results are generally in line with the empirical evidence documented in the literature and are summarized as follows: First, seller-initiated trading incurs a greater price reaction. Second, short sale restrictions shift the skewness of asset returns. Third, the restrictions can stimulate investors to acquire information or increase each individual trader's order flow under the bullish and neutral signals as well as the bearish signal, which is yet to be explored empirically.

KW - Directional trading

KW - Efficiency

KW - Short sale

KW - Skewness

UR - http://www.scopus.com/inward/record.url?scp=84978906292&partnerID=8YFLogxK

U2 - 10.1016/j.jbankfin.2016.07.005

DO - 10.1016/j.jbankfin.2016.07.005

M3 - Article

AN - SCOPUS:84978906292

SN - 0378-4266

VL - 71

SP - 227

EP - 239

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

ER -

Bullish/bearish/neutral strategies under short sale restrictions

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this