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

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.