Short Sale Bans and their Impact on the Microstructure of Equity Markets

Inhaltsverzeichnis (Table of Contents)

• Introduction
• Short Selling (Bans)
  • The Idea of Short Selling
  • Evolution of Short Selling (Bans)
  • European Short Sale Bans in 2020
• Literature Overview
• Stock Liquidity
  • Variables and Data
  • Methodology
  • Empirical Results
  • Robustness Check
  • Effects of the Ban Lift
  • Country-by-Country Analysis
• Price Efficiency
• Stock Prices

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This master's thesis aims to investigate the impact of short sale bans on the market microstructure of European equity markets. The study focuses on the effects of these bans on stock liquidity, price efficiency, and stock prices. The research utilizes data from the Covid-19 crisis in 2020, when several European countries implemented short sale bans as a response to highly volatile financial markets.

• Impact of short sale bans on market liquidity
• Effects of short sale bans on price efficiency
• Influence of short sale bans on stock prices
• Comparison of the findings with previous studies on short sale bans
• Analysis of the impact of short sale bans during market downturns

Zusammenfassung der Kapitel (Chapter Summaries)

The introduction provides an overview of the research topic and outlines the objectives and scope of the study. Chapter 2 examines the concept of short selling, its evolution, and the implementation of short sale bans in Europe in 2020. Chapter 3 reviews relevant literature on the impact of short sale bans on market microstructure. Chapter 4 delves into the analysis of stock liquidity, exploring variables, data, methodology, empirical results, robustness checks, and country-by-country analysis. Chapter 5 focuses on price efficiency and its relationship with short sale bans. Chapter 6 investigates the impact of short sale bans on stock prices.

Schlüsselwörter (Keywords)

The key terms and concepts explored in this research include short sale bans, market microstructure, stock liquidity, price efficiency, stock prices, European equity markets, Covid-19 crisis, empirical analysis, and matching algorithms.