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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 13-186/IV/DSF68
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
bear raids
short-selling bans
financial institutions’ risk
systemic risk
leverage capital requirements
Extreme Value Theory
JEL: 
C14
G01
G15
G21
Dokumentart: 
Working Paper
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