Acta Univ. Agric. Silvic. Mendelianae Brun. 2016, 64(6), 2025-2038 | DOI: 10.11118/actaun201664062025

Testing of Short Sale Hypotheses on the U.S. Market in the Period from 1990 to 2015

Dagmar Linnertová
The Department of Finance, the Faculty of Economics and Administration, Masaryk University, Lipová 41a, 602 00 Brno, Czech Republic

The purpose of this paper is to investigate the validity of short sale hypotheses the NYSE and NASDAQ in the period 1990-2015. Short has been regulated in the U.S. market since the 1930s by so-called up-tick rules and other legal acts. The aim of this regulation was to prevent short sellers from adding to the downward momentum when the price of an asset was already experiencing sharp declines. During the 1990s, short sale regulations changed several times. In this paper, panel regression is applied to investigate short sale determinants on the NYSE and NASDAQ. Short seller motivation and the results are compared with those for particular markets and sub periods that represent different legal regulations of short selling activities in the period from 1990 to 2015.

Keywords: short sale hypotheses, panel regression, NYSE, NASDAQ, regulation, short sale, short interest, determinants
Grants and funding:

The support of the Masaryk University internal grant MUNI/A/1025/2015, "Risks and Challenges of the Low Interest Rates Environment to Financial Stability and Development", is gratefully acknowledged.

Prepublished online: December 21, 2016; Published: January 1, 2017  Show citation

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Linnertová, D. (2016). Testing of Short Sale Hypotheses on the U.S. Market in the Period from 1990 to 2015. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 64(6), 2025-2038. doi: 10.11118/actaun201664062025
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