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Asymmetric Effects of Long and Short Selling Positions: Evidence from US Stock Markets

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F21%3A43920852" target="_blank" >RIV/62156489:43110/21:43920852 - isvavai.cz</a>

  • Result on the web

    <a href="https://journal.fsv.cuni.cz/storage/1492_attachment.pdf" target="_blank" >https://journal.fsv.cuni.cz/storage/1492_attachment.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Asymmetric Effects of Long and Short Selling Positions: Evidence from US Stock Markets

  • Original language description

    This paper investigates the effects of short/long positions on the return volatility of the market using high frequency, intra-day data from 2009 to 2020. We employ an asymmetric EGARCH model and find evidence of high persistence of return volatility. We cover the long periods of increased market turbulence over the decade. We show the time-varying volatility of the US stock market and emphasize the asymmetric effects of positive/negative shocks in the extreme market conditions and the destabilizing effects of short selling activities on the financial markets. Our results provide significant implications for portfolio management, especially for profitable short-selling strategies in turbulent periods.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2021

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Finance a úvěr-Czech Journal of Economics and Finance

  • ISSN

    0015-1920

  • e-ISSN

  • Volume of the periodical

    71

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    17

  • Pages from-to

    306-322

  • UT code for WoS article

    000739835800004

  • EID of the result in the Scopus database

    2-s2.0-85122098255