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An Empirical Analysis Of The Causal Relationship Between Short Interest And Stock Prices

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  • Celal Aksu
  • Erdal Gunay

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Suggested Citation

  • Celal Aksu & Erdal Gunay, 1995. "An Empirical Analysis Of The Causal Relationship Between Short Interest And Stock Prices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(5), pages 733-749, July.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:5:p:733-749
    DOI: 10.1111/j.1468-5957.1995.tb00386.x
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    References listed on IDEAS

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    1. Peter C.B. Phillips, 1987. "Multiple Regression with Integrated Time Series," Cowles Foundation Discussion Papers 852, Cowles Foundation for Research in Economics, Yale University.
    2. Figlewski, Stephen, 1981. "The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(4), pages 463-476, November.
    3. Hanna, Mark, 1976. "A Stock Price Predictive Model Based on Changes in Ratios of Short Interest to Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 857-872, December.
    4. Joseph J. Seneca, 1967. "Short Interest: Bearish Or Bullish?," Journal of Finance, American Finance Association, vol. 22(1), pages 67-70, March.
    5. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    6. Whitney Newey & Kenneth West, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Aksu, Celal & Narayan, Jack Y., 1991. "Forecasting with vector ARMA and state space methods," International Journal of Forecasting, Elsevier, vol. 7(1), pages 17-30, May.
    8. Mayor, Thomas H., 1968. "Short Trading Activities and the Price of Equities: Some Simulation and Regression Results*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(3), pages 283-298, September.
    9. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-461, October.
    10. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    11. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    12. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    13. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
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