Baklacı, Hasan FehmiSuer, OmurYelkenci, Tezer2023-06-162023-06-1620161544-61231544-6131https://doi.org/10.1016/j.frl.2016.01.007https://hdl.handle.net/20.500.14365/1228This 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.eninfo:eu-repo/semantics/closedAccessShort sellingPanel granger-causalityConditional volatilityHeterogeneous PanelsPrice EfficiencyMarketReturnsArticle10.1016/j.frl.2016.01.0072-s2.0-84956936547