The Effects of Short Selling on Financial Markets Volatilities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F19%3A43917308" target="_blank" >RIV/62156489:43110/19:43917308 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.11118/ejobsat.v5i2.183" target="_blank" >https://doi.org/10.11118/ejobsat.v5i2.183</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/ejobsat.v5i2.183" target="_blank" >10.11118/ejobsat.v5i2.183</a>

Result language
angličtina
Original language name
The Effects of Short Selling on Financial Markets Volatilities
Original language description
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 on the market reduce the market volatility and higher short selling activities reduce risk in the market. The study also finds that firms in the financial sector dominate the market and short selling activities in this sector has a greater impact on the market volatility. We also find portfolio managers to be better off investing in the market than creating portfolio within sectors.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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