Copy For Citation
Baklaci H. F., Süer Ö., Yelkenci T.
FINANCE RESEARCH LETTERS, vol.17, pp.48-54, 2016 (SSCI)
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Publication Type:
Article / Article
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Volume:
17
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Publication Date:
2016
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Doi Number:
10.1016/j.frl.2016.01.007
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Journal Name:
FINANCE RESEARCH LETTERS
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Journal Indexes:
Social Sciences Citation Index (SSCI), Scopus
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Page Numbers:
pp.48-54
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Keywords:
Short selling, Panel granger-causality, Conditional volatility, HETEROGENEOUS PANELS, PRICE EFFICIENCY, MARKET, RETURNS
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Galatasaray University Affiliated:
Yes
Abstract
This study addresses the Granger causality between short selling activities and stock price volatility in the US stock market, utilizing daily data and advanced methodologies.