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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/11772
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dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorPhilip, Dennisen_UK
dc.date.accessioned2018-02-10T02:24:53Z-
dc.date.available2018-02-10T02:24:53Zen_UK
dc.date.issued2012-09en_UK
dc.identifier.urihttp://hdl.handle.net/1893/11772-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationMcMillan D & Philip D (2012) Short-sale constraints and efficiency of the spot-futures dynamics. International Review of Financial Analysis, 24, p. 129–136. https://doi.org/10.1016/j.irfa.2012.09.001en_UK
dc.rightsThe 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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectShort-sale constraintsen_UK
dc.subjectShort-sellingen_UK
dc.subjectArbitrageen_UK
dc.subjectMispricingen_UK
dc.titleShort-sale constraints and efficiency of the spot-futures dynamicsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-31en_UK
dc.rights.embargoreason[McMillan_2012_Short-sale_constraints_and_efficiency.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.irfa.2012.09.001en_UK
dc.citation.jtitleInternational Review of Financial Analysisen_UK
dc.citation.issn1057-5219en_UK
dc.citation.volume24en_UK
dc.citation.spage129en_UK
dc.citation.epage136en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationDurham Universityen_UK
dc.identifier.isiWOS:000208857700014en_UK
dc.identifier.scopusid2-s2.0-84866526433en_UK
dc.identifier.wtid720762en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2012-09-06en_UK
dcterms.dateAccepted2012-09-06en_UK
dc.date.filedepositdate2013-04-08en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorPhilip, Dennis|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-31en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameMcMillan_2012_Short-sale_constraints_and_efficiency.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1057-5219en_UK
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