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


Baklaci H. F. , SÜER BAKLACI Ö. , Yelkenci T.

FINANCE RESEARCH LETTERS, vol.17, pp.48-54, 2016 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 17
  • Publication Date: 2016
  • Doi Number: 10.1016/j.frl.2016.01.007
  • Title of Journal : FINANCE RESEARCH LETTERS
  • Page Numbers: pp.48-54
  • Keywords: Short selling, Panel granger-causality, Conditional volatility, HETEROGENEOUS PANELS, PRICE EFFICIENCY, MARKET, RETURNS

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.