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

Baklaci H. F., Süer Ö., Yelkenci T.

FINANCE RESEARCH LETTERS, cilt.17, ss.48-54, 2016 (SSCI, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 17
  • Basım Tarihi: 2016
  • Doi Numarası: 10.1016/j.frl.2016.01.007
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.48-54
  • Anahtar Kelimeler: Short selling, Panel granger-causality, Conditional volatility, HETEROGENEOUS PANELS, PRICE EFFICIENCY, MARKET, RETURNS
  • Galatasaray Üniversitesi Adresli: Evet

Özet

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.