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Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F22%3A43922824" target="_blank" >RIV/62156489:43110/22:43922824 - isvavai.cz</a>

  • Result on the web

    <a href="https://doi.org/10.11118/ejobsat.2022.013" target="_blank" >https://doi.org/10.11118/ejobsat.2022.013</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.11118/ejobsat.2022.013" target="_blank" >10.11118/ejobsat.2022.013</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine

  • Original language description

    In this paper, we empirically investigate the effect of short selling on market volatility during exogenously-induced uncertainties. Using the Covid-19 pandemic and the onset of the Russian-Ukraine Conflicts periods as event study, we employ the asymmetric EGARCH model. We show high persistence and asymmetric effects of market volatility during the pre-covid outbreak and post-covid outbreak periods. We find evidence that short selling increases market volatility during the pre-covid outbreak period while the period of the Russian-Ukraine conflict is characterized by reduced volatility. We find no evidence of short selling effect on market volatility during the post-covid outbreak period. Our findings provide significant implications for short-selling strategies during crisis periods.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2022

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    European Journal of Business Science and Technology

  • ISSN

    2336-6494

  • e-ISSN

    2694-7161

  • Volume of the periodical

    8

  • Issue of the periodical within the volume

    2

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    11

  • Pages from-to

    233-243

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-85147378530