A Closer Insight Into the Causality Between Short Selling Trades and Volatility
| dc.contributor.author | Baklacı, Hasan Fehmi | |
| dc.contributor.author | Suer, Omur | |
| dc.contributor.author | Yelkenci, Tezer | |
| dc.date.accessioned | 2023-06-16T12:59:29Z | |
| dc.date.available | 2023-06-16T12:59:29Z | |
| dc.date.issued | 2016 | |
| dc.description.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. The results denote a bilateral causality between the short selling trades and the volatility of price changes in the US stock market at individual stock as well as at market level. The bilateral causality relationship persists during different market conjunctures. The findings imply that measures to curb excess price volatility stemming from short selling trades were relatively ineffective and the policy-makers need to impose more stringent restrictions to prevent market destabilization. (C) 2016 Elsevier Inc. All rights reserved. | en_US |
| dc.identifier.doi | 10.1016/j.frl.2016.01.007 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.issn | 1544-6131 | |
| dc.identifier.scopus | 2-s2.0-84956936547 | |
| dc.identifier.uri | https://doi.org/10.1016/j.frl.2016.01.007 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/1228 | |
| dc.language.iso | en | en_US |
| dc.publisher | Academic Press Inc Elsevier Science | en_US |
| dc.relation.ispartof | Fınance Research Letters | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Short selling | en_US |
| dc.subject | Panel granger-causality | en_US |
| dc.subject | Conditional volatility | en_US |
| dc.subject | Heterogeneous Panels | en_US |
| dc.subject | Price Efficiency | en_US |
| dc.subject | Market | en_US |
| dc.subject | Returns | en_US |
| dc.title | A Closer Insight Into the Causality Between Short Selling Trades and Volatility | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | SUER, OMUR/0000-0001-9997-6457 | |
| gdc.author.id | Yelkenci, Tezer/0000-0003-2099-3540 | |
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| gdc.author.wosid | SUER, OMUR/AAB-2982-2020 | |
| gdc.author.wosid | Yelkenci, Tezer/D-9713-2016 | |
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| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::journal::journal article | |
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| gdc.description.department | İzmir Ekonomi Üniversitesi | en_US |
| gdc.description.departmenttemp | [Baklaci, Hasan F.; Yelkenci, Tezer] Izmir Univ Econ, Sakarya Caddesi 156 Balcova, TR-35330 Izmir, Turkey; [Suer, Omur] Galatasaray Univ, Ciragan Caddesi 36 Ortakoy, TR-34349 Istanbul, Turkey | en_US |
| gdc.description.endpage | 54 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 48 | en_US |
| gdc.description.volume | 17 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W2260282280 | |
| gdc.identifier.wos | WOS:000378186000008 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
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| gdc.virtual.author | Baklacı, Hasan Fehmi | |
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