The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange

Serkan Çankaya, Eken, Hasan/M. and Veysel Ulusoy

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities rather than the daily price movements. We demonstrate that the effects of short selling activity changes during the two sessions of the day and rest of trading hours. The study also presents evidence that there is a considerable amount of short selling activity in the Istanbul Stock Exchange(ISE), particularly at the beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day.

Keywords: Short selling; Istanbul Stock Exchange; Intraday volatility; market efficiency; financial crises (search for similar items in EconPapers)
JEL-codes: G01 G14 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

Published in International Research Journal of Finance and Economics 93 (2012): pp. 202-212

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:43658

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