Regulatory study finds wider bid-ask spreads as a result of Spanish short selling ban

ANALYSIS OF THE EFFECT OF RESTRICTIONS ON SHORT SELLING SPANISH SHARES BETWEEN MARCH AND MAY 2020

23 July 2020

  • The study, carried out by experts from the CNMV’s Research and Statistics Department, is based on a comparative analysis of the trends in the shares that form part of the Spanish Ibex 35 and the German Dax 30, considering various variables (in Germany, no restrictions on short-selling were applied during the Covid-19 crisis)
  • The study found no significant evidence of effects in terms of prices, trading volumes, volatility, market depth or credit spreads, although it did find a moderate increase in one particular liquidity measure (bid-ask spreads)

The Spanish National Securities Market Commission (CNMV) has published a report, “Analysis of the effect of restrictions on short selling Spanish shares between March and May 2020”, which analyses the impact, in terms of market efficiency, of the restrictions on short selling introduced in Spanish markets during the session of 13 March 2020 and subsequently from 17 March to 18 May.

The full report (in Spanish) is available at http://www.cnmv.es/DocPortal/Publicaciones/OTROS/Informe_ventas_en_corto_23072020.pdf

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