Two Essays in Financial Economics

In the second chapter, we construct a model to test the impact of short sell restrictions on the price discovery process of Diamond exchange traded funds. Short sell restrictions prevent trading in individual stocks during down markets. Diamonds are traded continuously and hold a publicly known portfolio of DJIA stocks. We test the distributional implications of short sell restrictions by using trade level data to construct minute-by-minute trade level approximations of the Diamond portfolio and compare them to Diamonds during periods when the short sell restrictions bind. We find no evidence that short sell restrictions introduce persistent premiums or discounts.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Westbrook, Harvey Birtill, Jr

Contributors dc:contributor

• Bernhardt, Dan

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI3044259

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85524