TY - JOUR
T1 - The effect of short selling on volatility and jumps
AU - Ho, Glenn Kit Foong
AU - Treepongkaruna, Sirimon
AU - Wee, Marvin
AU - Padungsaksawasdi, Chaiyuth
PY - 2022/2
Y1 - 2022/2
N2 - The evidence is mixed regarding the role of short sellers on stock market efficiency, with the majority of studies assessing short selling activities during abnormal market conditions. This study investigates the effect of short selling on stock volatility during normal market conditions in the Australian stock market using various proxies for volatility and trading activities. While short volume does not supplant the number of trades in the volume and volatility relationship, our results suggest that short selling has some incremental positive effects on volatility. Overall, our vector autoregression (VAR) analysis suggests that trading by short sellers increases volatility even during normal market conditions. JEL Classification: G10, G12, G13
AB - The evidence is mixed regarding the role of short sellers on stock market efficiency, with the majority of studies assessing short selling activities during abnormal market conditions. This study investigates the effect of short selling on stock volatility during normal market conditions in the Australian stock market using various proxies for volatility and trading activities. While short volume does not supplant the number of trades in the volume and volatility relationship, our results suggest that short selling has some incremental positive effects on volatility. Overall, our vector autoregression (VAR) analysis suggests that trading by short sellers increases volatility even during normal market conditions. JEL Classification: G10, G12, G13
KW - Jumps
KW - order imbalance
KW - realized volatility
KW - short selling
KW - trading volume
UR - http://www.scopus.com/inward/record.url?scp=85103109235&partnerID=8YFLogxK
U2 - 10.1177/0312896221996416
DO - 10.1177/0312896221996416
M3 - Article
AN - SCOPUS:85103109235
VL - 47
SP - 34
EP - 52
JO - Australian Journal of Management
JF - Australian Journal of Management
SN - 0312-8962
IS - 1
ER -