Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach
Resumen: The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the literature by analyzing the microstructure and quality parameters of the Spanish equity market during COVID-19 and SSR. We study four subperiods, namely pre-crisis, turmoil, SSR, and first de-escalation periods, by means of a tick-by-tick dataset and the complete limit order book (LOB). We observe the following impact of the SSR on the constituents of IBEX 35: (1) the SSR did comply partially with its aim at an intraday level regarding volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm of the slope of the LOB bidirectionally Granger causes 1 min realized volatility.
Idioma: Inglés
DOI: 10.3390/jrfm15070308
Año: 2022
Publicado en: Journal of Risk and Financial Management 15, 7 (2022), 308 [29 pp.]
ISSN: 1911-8074

Factor impacto CITESCORE: 0.7 - Economics, Econometrics and Finance (Q4) - Business, Management and Accounting (Q4)

Factor impacto SCIMAGO: 0.258 - Accounting (Q3) - Finance (Q3) - Economics and Econometrics (Q3) - Business, Management and Accounting (miscellaneous) (Q3)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE
Financiación: info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00
Tipo y forma: Article (Published version)
Área (Departamento): Área Economía Finan. y Contab. (Dpto. Contabilidad y Finanzas)

Creative Commons You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.


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 Record created 2022-08-24, last modified 2023-09-14


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