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Using intraday data, this paper investigates empirically the joint stock and corporate bond markets responses to the September 2008 stocks short sell ban. This paper intends to exploit the natural experiment in order to asses the impact of the stock market short sale restrictions (stock market liquidity shock) on corporate bond market variables during the financial crisis period. The short sell ban was one of the levers that regulators pulled in order to manage the financial crisis. The economic question is whether this lever worked or should have been pulled given the complexity of financial market linkages and news dissemination.
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