000118035 001__ 118035
000118035 005__ 20230914083458.0
000118035 0247_ $$2doi$$a10.3390/jrfm15070308
000118035 0248_ $$2sideral$$a129393
000118035 037__ $$aART-2022-129393
000118035 041__ $$aeng
000118035 100__ $$0(orcid)0000-0001-8760-9350$$aFerreruela, Sandra$$uUniversidad de Zaragoza
000118035 245__ $$aMarket Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach
000118035 260__ $$c2022
000118035 5060_ $$aAccess copy available to the general public$$fUnrestricted
000118035 5203_ $$aThe 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.
000118035 536__ $$9info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE$$9info:eu-repo/grantAgreement/ES/MCIU-AEI-FEDER/RTI2018-093483-B-I00
000118035 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000118035 592__ $$a0.258$$b2022
000118035 593__ $$aAccounting$$c2022$$dQ3
000118035 593__ $$aFinance$$c2022$$dQ3
000118035 593__ $$aEconomics and Econometrics$$c2022$$dQ3
000118035 593__ $$aBusiness, Management and Accounting (miscellaneous)$$c2022$$dQ3
000118035 594__ $$a0.7$$b2022
000118035 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000118035 700__ $$aMartín, Daniel
000118035 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000118035 773__ $$g15, 7 (2022), 308 [29 pp.]$$pJ. risk financ. manag.$$tJournal of Risk and Financial Management$$x1911-8074
000118035 8564_ $$s1286249$$uhttps://zaguan.unizar.es/record/118035/files/texto_completo.pdf$$yVersión publicada
000118035 8564_ $$s2828482$$uhttps://zaguan.unizar.es/record/118035/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000118035 909CO $$ooai:zaguan.unizar.es:118035$$particulos$$pdriver
000118035 951__ $$a2023-09-13-12:39:34
000118035 980__ $$aARTICLE