Short Selling in Emerging Markets: A Comparison of Market Performance During the Global Financial Crisis

HANDBOOK OF SHORT SELLING, pp. 339-352, Elsevier, 2012

Posted: 16 Nov 2011

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Mario Maggi

University of Pavia - Department of Economics and Management; University of Pavia - Department of Economics and Management

Date Written: November 15, 2011

Abstract

This chapter reviews short selling practices in emerging markets and market performances during the global financial crisis. In contrast to developed markets, many emerging countries do not permit short selling, which can pose severe limitations on market liquidity. We compare market volatility, the Sharpe ratio, maximum drawdown, and skewness across different countries from May 2002 to November 2010. Moreover, we show that a market crash impact is generally weak in countries where short selling is allowed.

Keywords: Exogenous liquidity, Market liquidity, Market volatility, Maximum drawdown, Mean volatility, Sharpe ratio, Skewness

JEL Classification: G10, G12, G24, G28

Suggested Citation

Fantazzini, Dean and Maggi, Mario, Short Selling in Emerging Markets: A Comparison of Market Performance During the Global Financial Crisis (November 15, 2011). HANDBOOK OF SHORT SELLING, pp. 339-352, Elsevier, 2012. Available at SSRN: https://ssrn.com/abstract=1960108

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Mario Maggi

University of Pavia - Department of Economics and Management ( email )

Via San Felice, 5
Pavia, PV 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

University of Pavia - Department of Economics and Management ( email )

Strada Nuova, 65
Pavia, 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

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