Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/27197
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Information Transmission across European Equity Markets During Crisis Periods
Author(s): Chen, Jing
McMillan, David
Buckle, Mike
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Short Selling
Cointegration
Spillover
Causality
Issue Date: Dec-2018
Citation: Chen J, McMillan D & Buckle M (2018) Information Transmission across European Equity Markets During Crisis Periods. Manchester School, 86 (6), pp. 770-788. https://doi.org/10.1111/manc.12226.
Abstract: To respond to the market turmoil following the demise of Lehman Brothers in September 2008, the majority of European countries imposed short selling restrictions on their equity markets. Such a regulatory intervention is likely to have impact on the price formation process and information transmission between markets. We find that the long-run cointegrating relation between the high and low risk country groups in Europe broke down as the crisis emerged and the regulatory remedy failed to correct this. Furthermore, we find the information transmission between markets has reversed from the high risk to low risk markets in the period following the Lehman demise and imposition of the ban. Further, we notice a similar reversal in the spillover of both return and volatility processes between the different risk-level country groups. We, therefore, conclude that, overall, the 2008 short selling ban had an adverse impact on information transmission between the identified country portfolios in both the long and short run. Notably, the ban did not restore the pre-crisis transmission channels.
DOI Link: 10.1111/manc.12226
Rights: This item has been embargoed for a period. During the embargo 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. This is the peer reviewed version of the following article: Chen, J. , McMillan, D. G. and Buckle, M. (2018), Information Transmission across European Equity Markets During Crisis Periods. The Manchester School, 86: 770-788, which has been published in final form at https://doi.org/10.1111/manc.12226. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.

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