The impact of short selling on intraday volatility: Evidence from the Istanbul stock exchange
Küçük Resim Yok
Tarih
2012
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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. © EuroJournals Publishing, Inc. 2012.
Açıklama
Anahtar Kelimeler
Financial crises, Intraday volatility, Istanbul stock exchange, Market efficiency, Short selling
Kaynak
International Research Journal of Finance and Economics
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
93
