This item is only available for download by members of the University of Illinois community. Students, faculty, and staff at the U of I may log in with your NetID and password to view the item. If you are trying to access an Illinois-restricted dissertation or thesis, you can request a copy through your library's Inter-Library Loan office or purchase a copy directly from ProQuest.
Permalink
https://hdl.handle.net/2142/85524
Description
Title
Two Essays in Financial Economics
Author(s)
Westbrook, Harvey Birtill, Jr
Issue Date
2002
Doctoral Committee Chair(s)
Bernhardt, Dan
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
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.
Use this login method if you
don't
have an
@illinois.edu
email address.
(Oops, I do have one)
IDEALS migrated to a new platform on June 23, 2022. If you created
your account prior to this date, you will have to reset your password
using the forgot-password link below.
