Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/11772
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Short-sale constraints and efficiency of the spot-futures dynamics
Authors: McMillan, David
Philip, Dennis
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Short-sale constraints
Short-selling
Arbitrage
Mispricing
Issue Date: Sep-2012
Publisher: Elsevier
Citation: McMillan D & Philip D (2012) Short-sale constraints and efficiency of the spot-futures dynamics, International Review of Financial Analysis, 24, pp. 129-136.
Abstract: This paper studies the spot and futures cross-market efficiency implications of the regulatory short-selling constraints imposed during the 2008-2009 financial crisis. We find that the equilibrium position for the basis during the ban period is below that normally seen, with the spot price higher relative to the futures price. This suggests that holding the spot was more valuable than holding the futures during the ban period. Further, we find that the speed of adjustment has slowed down and in some cases become statistically insignificant, suggesting that arbitrage is less effective during the ban period. The results presented here have implications for regulators and traders regarding the efficiency of these markets during a short-sale ban.
Type: Journal Article
URI: http://hdl.handle.net/1893/11772
DOI Link: http://dx.doi.org/10.1016/j.irfa.2012.09.001
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: Accounting and Finance
Durham University

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