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

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

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.

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File URL: http://mpra.ub.uni-muenchen.de/43658/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 43658.

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Date of creation: 2011
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Handle: RePEc:pra:mprapa:43658

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Related research

Keywords: Short selling; Istanbul Stock Exchange; Intraday volatility; market efficiency; financial crises;

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  1. Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(2), pages 227-268, April.
  2. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
  3. Arturo Bris & William N. Goetzmann & Ning Zhu, 2004. "Efficiency and the Bear: Short Sales and Markets around the World," Yale School of Management Working Papers, Yale School of Management ysm15, Yale School of Management.
  4. Pedro A. C. Saffi & Kari Sigurdsson, 2011. "Price Efficiency and Short Selling," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(3), pages 821-852.
  5. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2008. "Which Shorts Are Informed?," Journal of Finance, American Finance Association, American Finance Association, vol. 63(2), pages 491-527, 04.
  6. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, American Finance Association, vol. 32(4), pages 1151-68, September.
  7. �lan T. Henry & Michael McKenzie, 2006. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," The Journal of Business, University of Chicago Press, vol. 79(2), pages 671-692, March.
  8. Diamond, Douglas W. & Verrecchia, Robert E., 1987. "Constraints on short-selling and asset price adjustment to private information," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(2), pages 277-311, June.
  9. Michael J. Aitken & Alex Frino & Michael S. McCorry & Peter L. Swan, 1998. "Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange," Journal of Finance, American Finance Association, American Finance Association, vol. 53(6), pages 2205-2223, December.
  10. Seraina GRUENEWALD & Alexander F. WAGNER & Rolf H. WEBER, . "Short Selling Regulation after the Financial Crisis – First Principles Revisited," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 09-28, Swiss Finance Institute.
  11. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
  12. Danielsen, Bartley R. & Sorescu, Sorin M., 2001. "Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short Sale Constraints," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 36(04), pages 451-484, December.
  13. Çankaya, Serkan & Ulusoy, Veysel & Eken, Hasan/M., 2011. "The Behavior of Istanbul Stock Exchange Market: An Intraday Volatility/Return Analysis Approach," MPRA Paper 43656, University Library of Munich, Germany.
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