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首页> 外文期刊>The Manchester school >INFORMATION TRANSMISSION ACROSS EUROPEAN EQUITY MARKETS DURING CRISIS PERIODS
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INFORMATION TRANSMISSION ACROSS EUROPEAN EQUITY MARKETS DURING CRISIS PERIODS

机译：危机期间跨欧洲股权市场的信息传播

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摘要

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.
机译：为了应对2008年9月雷曼兄弟（Lehman Brothers）破产之后的市场动荡，大多数欧洲国家对其股票市场施加了卖空限制。这种监管干预可能会影响价格形成过程和市场之间的信息传递。我们发现，随着危机的出现，欧洲高风险国家集团和低风险国家集团之间的长期协同关系破裂，而监管补救措施未能纠正这一问题。此外，我们发现，在雷曼兄弟（Lehman）破产和实施禁令之后的这段时间里，市场之间的信息传递已经从高风险市场转向了低风险市场。此外，我们注意到，在不同风险水平的国家组之间，收益率和波动率过程的溢出都发生了类似的逆转。因此，我们得出的结论是，总体而言，2008年的卖空禁令无论从长期还是短期都对所确定的国家组合之间的信息传递产生不利影响。值得注意的是，该禁令并没有恢复危机前的传播渠道。

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  • 来源
    《The Manchester school》 |2018年第6期|770-788|共19页
  • 作者

    Chen Jing; McMillan David G.; Buckle Mike;

  • 作者单位

    Cardiff Univ, Sch Math, Cardiff, S Glam, Wales;

    Univ Stirling, Stirling Management Sch, Accounting & Finance Div, Stirling, Scotland;

    Univ Liverpool, Management Sch, Liverpool, Merseyside, England;

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