Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89235
Authors: 
Pais, Amelia
Stork, Philip A.
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-186/IV/DSF68
Abstract: 
During the Global Financial Crisis, regulators imposed short-selling bans to protect financial institutions. The rationale behind the bans was that “bear raids”, driven by short-sellers, would increase the individual and systemic risk of financial institutions, especially for institutions with high leverage. This study uses Extreme Value Theory to estimate the effect of short-selling on financial institutions’ individual and systemic risks in France, Italy and Spain; it also analyses the relationship between financial institutions’ leverage and short-selling. The results show that short-sellers appear to specifically target institutions with lower capital levels. Furthermore, institutions’ risk-levels and changes in short-selling positions tend to move in tandem.
Subjects: 
bear raids
short-selling bans
financial institutions’ risk
systemic risk
leverage capital requirements
Extreme Value Theory
JEL: 
C14
G01
G15
G21
Document Type: 
Working Paper

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