Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices

David Aharon, Renatas Kizys, Zaghum Umar and Adam Zaremba
Additional contact information
David Aharon: Ono Academic College
Renatas Kizys: University of Southampton
Adam Zaremba: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School, UM - Université de Montpellier, PUEB - Poznań University of Economics and Business

Post-Print from HAL

Abstract: Can a short-squeeze incident trigger financial contagion over heavily shorted companies? The recent GameStop frenzy provides a unique natural experiment to explore this question. This study examines the static and dynamic return and volatility connectedness among the GameStop stock, the novel market-wide and sectoral short-interest indices, and the U.S. stock market. Contrary to anecdotal evidence, we find that the GameStop stock is not a net transmitter but a net recipient of return and volatility spillovers from other companies shorted in the market. This result agrees with the view that short-interest indices provide price discovery for shorted stocks. Therefore, although David might have won a battle against Goliath, he does not seem to win the war.

Keywords: Static and dynamic connectedness; GameStop; Short-interest index; Stock returns; Return volatility; Spillovers; WallStreetBets (search for similar items in EconPapers)
Date: 2023-01
Note: View the original document on HAL open archive server: https://hal.science/hal-04583804v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Research in International Business and Finance, 2023, 64, pp.101803. ⟨10.1016/j.ribaf.2022.101803⟩

Downloads: (external link)
https://hal.science/hal-04583804v1/document (application/pdf)

Related works:
Journal Article: Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04583804

DOI: 10.1016/j.ribaf.2022.101803

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().