A closer insight into the causality between short selling trades and volatility

Hasan F. Baklaci, Omur Suer and Tezer Yelkenci

Finance Research Letters, 2016, vol. 17, issue C, 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.

Keywords: Short selling; Panel granger-causality; Conditional volatility (search for similar items in EconPapers)
JEL-codes: C33 G12 G15 G18 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:48-54

DOI: 10.1016/j.frl.2016.01.007

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