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Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategiesстатья
Информация о цитировании статьи получена из
Web of Science,
Scopus
Дата последнего поиска статьи во внешних источниках: 7 декабря 2013 г.
- Авторы: Kudrov A., Zlotnik A., Dukhovnaya E., Fantazzini D.
- Сборник: HANDBOOK OF SHORT SELLING
- Год издания: 2012
- Место издания: Elsevier Inc
- Первая страница: 387
- Последняя страница: 400
- DOI: 10.1016/B978-0-12-387724-6.00027-1
- Аннотация: This chapter discusses the most important regulations and common practices of short selling on Russian stock markets. Initially used only by large financial institutions, short selling has now attracted an increasing number of small investors, even during the crises of 2008 and 2009. Short selling in Russia is regulated by a governmental body, the Federal Financial Markets Service (FFMS), and by specific rules set by the stock market. Elaborated accounting systems are required by Russian authorities to ensure that short sales are accounted separately and in addition, each investor has to provide his/her broker with collateral in the form of cash, cash equivalents, or other securities. Brokers are entitled to short sell only quoted securities and each exchange has to form a list of the most liquid securities on a quarterly basis that can be traded in the next quarter according to the liquidity rating rules set by the FFMS. After the drop in stock prices on Russian stock markets, the FFMS banned short selling to prevent further speculations on September 18, 2008 and short selling was finally allowed again only on June 15, 2009, to improve market liquidity. A comparison of various asset allocation strategies, including a new methodology based on the positive and negative potential for the price (or return) on the next day is presented. The comparison is performed by using stocks allowed for short selling in the fourth quarter of 2010 in Russian stock markets. The findings demonstrate advantages of using short selling in active portfolio management in Russian markets and the most preferable strategy on a long-term investment horizon is the long-short trading strategy. В© 2012 Elsevier Inc. All rights reserved.
- Добавил в систему: Фантаццини Деан c.