A closer insight into the causality between short selling trades and volatility
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DOI: 10.1016/j.frl.2016.01.007
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Cited by:
- Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
- Choi, Hae Mi, 2018. "Short selling and the rounding of analysts’ forecasts," Finance Research Letters, Elsevier, vol. 25(C), pages 47-54.
- Nathalie Oriol & Iryna Veryzhenko, 2019.
"Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation,"
Quantitative Finance, Taylor & Francis Journals, vol. 19(7), pages 1075-1092, July.
- Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
- Kwaku Boafo Baidoo, 2019. "The Effects of Short Selling on Financial Markets Volatilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 5(2), pages 218-228.
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More about this item
Keywords
Short selling; Panel granger-causality; Conditional volatility;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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