A closer insight into the causality between short selling trades and volatility

Baklaci H. F., Süer Ö., Yelkenci T.

FINANCE RESEARCH LETTERS, vol.17, pp.48-54, 2016 (SSCI, Scopus)

  • Publication Type: Article / Article
  • Volume: 17
  • Publication Date: 2016
  • Doi Number: 10.1016/j.frl.2016.01.007
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.48-54
  • Keywords: Short selling, Panel granger-causality, Conditional volatility, HETEROGENEOUS PANELS, PRICE EFFICIENCY, MARKET, RETURNS
  • 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.