The Effects of Short Selling on Financial Markets Volatilities
The paper investigates the relationship between short selling activities of stocks on the volatility of the US market and its sectors. We apply the multivariate DCC GARCH Model on the NYSE US 100 Index between November 2017 and October 2018. We find evidence that investments in some specific firms o...
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| Format: | Article |
| Language: | English |
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Mendel University, Brno
2019-12-01
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| Series: | European Journal of Business Science and Technology |
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| Online Access: | https://ejobsat.cz/artkey/ejo-201902-0005_the-effects-of-short-selling-on-financial-markets-volatilities.php |