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
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Czech description
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Classification
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
Result continuities
Project
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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
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EID of the result in the Scopus database
2-s2.0-85147378530