Causality Tests Of Short Sales On The New York Stock Exchange
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Mark Hanna, 1968. "Short Interest: Bullish Or Bearish?—Comment," Journal of Finance, American Finance Association, vol. 23(3), pages 520-523, June.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
- Joseph J. Seneca, 1967. "Short Interest: Bearish Or Bullish?," Journal of Finance, American Finance Association, vol. 22(1), pages 67-70, March.
- Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
- Larry D. Haugh & David A. Pierce, 1977. "Causality in temporal systems: characterizations and a survey," Special Studies Papers 87, Board of Governors of the Federal Reserve System (U.S.).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hemang Desai & K. Ramesh & S. Ramu Thiagarajan & Bala V. Balachandran, 2002. "An Investigation of the Informational Role of Short Interest in the Nasdaq Market," Journal of Finance, American Finance Association, vol. 57(5), pages 2263-2287, October.
- David M. Schizer & Michael R. Powers & Martin Shubik, 2003.
"Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales,"
Yale School of Management Working Papers
ysm356, Yale School of Management.
- Michael R. Powers & David M. Schizer & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers 1413, Cowles Foundation for Research in Economics, Yale University.
- Azzopardi, Paul & Silvio John, Camilleri, 2003.
"The Relevance of Short Sales to the Maltese Stock Market,"
MPRA Paper
84566, University Library of Munich, Germany.
- Paul V. Azzopardi & Silvio John Camilleri, 2004. "The Relevance of Short Sales to the Maltese Stock Market," Finance 0409009, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Thomas M Fullerton Jr & Richard A Hirth & Mark B Smith, 2004. "Inflationary Dynamics and the Angell-Johnson Proposals," Macroeconomics 0409009, University Library of Munich, Germany.
- Phipps, Tim, 1982. "Farmland Prices and the Return to Land: An Application of Causality Testing," 1982 Annual Meeting, August 1-4, Logan, Utah 279162, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Allan Fels & Tran Van Hoa, 1981. "Causal Relationships in Australian Wage Inflation and Minimum Award Rates," The Economic Record, The Economic Society of Australia, vol. 57(1), pages 23-34, March.
- Walter C. Labys & Alfred Maizels, 1990. "Commodity Price Fluctuations and Macro-economic Adjustments in the Developed Countries," WIDER Working Paper Series wp-1990-088, World Institute for Development Economic Research (UNU-WIDER).
- Cheng Hsiao, 1977. "Money And Income, Causality Detection," NBER Working Papers 0167, National Bureau of Economic Research, Inc.
- Ralf Ostermark, 1998. "Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 67-72.
- Blank, Steven C, 1987.
"Evaluating International Price Relationships Using Causal Models,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 14(3), pages 305-323.
- Blank, Steven C., 1987. "Evaluating International Price Relationships Using Causal Models," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 270103, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Ajayi, Richard A. & Friedman, Joseph & Mehdian, Seyed M., 1998. "On the relationship between stock returns and exchange rates: Tests of granger causality," Global Finance Journal, Elsevier, vol. 9(2), pages 241-251.
- Abdur R. Chowdhury, 1991. "A Causal Analysis of Defense Spending and Economic Growth," Journal of Conflict Resolution, Peace Science Society (International), vol. 35(1), pages 80-97, March.
- Ghassan, Hassan B. & ElHafidi, Miloud, 1999. "Tests de G-causalité et spécification d’un modèle économétrique: Application sur un panel sectoriel marocain [G-causality tests and specification of an econometric model: Evidence form Sectoral Mor," MPRA Paper 56433, University Library of Munich, Germany, revised 13 Jan 2000.
- repec:cte:werepe:we1212 is not listed on IDEAS
- Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006.
"Short run and long run causality in time series: inference,"
Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Nidhal Mgadmi & Houssem Rachdi & Hichem Saidi & Khaled Guesmi, 2019. "On the Instability of Tunisian Money Demand: Some Empirical Issues with Structural Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 153-165, March.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014.
"Multivariate variance ratio statistics,"
CeMMAP working papers
CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics 1459, Faculty of Economics, University of Cambridge.
- Dhruv Rawat & Sujay Patni & Ram Mehta, 2021. "Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context," Papers 2112.08071, arXiv.org, revised Feb 2022.
- Jacques Mairesse & Alan K. Siu, 1984.
"An Extended Accelerator Model of R&D and Physical Investment,"
NBER Chapters, in: R&D, Patents, and Productivity, pages 271-298,
National Bureau of Economic Research, Inc.
- Jacques Mairesse & Alan K. Siu, 1982. "An Extended Accelerator Model of R&D and Physical Investment," NBER Working Papers 0968, National Bureau of Economic Research, Inc.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
- Ruiz-Castillo, Javier, 2012. "From the “European Paradox” to a European Drama in citation impact," UC3M Working papers. Economics we1211, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Kholdy, Shady & Sohrabian, Ahmad, 1995. "Testing for the relationship between nominal exchange rates and economic fundamentals," Global Finance Journal, Elsevier, vol. 6(2), pages 121-134.
- Harvey Starr & Francis W. Hoole & Jeffrey A. Hart & John R. Freeman, 1984. "The Relationship between Defense Spending and Inflation," Journal of Conflict Resolution, Peace Science Society (International), vol. 28(1), pages 103-122, March.
- Marc Hallin & Abdessamad Saidi, 2005.
"Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 83-105, January.
- Marc Hallin & Abdessamad Saidi, 2005. "Testing non-correlation and non-causality between multivariate arma time series," ULB Institutional Repository 2013/127945, ULB -- Universite Libre de Bruxelles.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:14:y:1991:i:3:p:277-286. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.