The Effects of Short Selling on Financial Markets Volatilities

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The Effects of Short Selling on Financial Markets Volatilities

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The Effects of Short Selling on Financial Markets Volatilities

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

European Journal of Business Science and Technology

ISSN

2336-6494

e-ISSN

2694-7161

Svazek periodika

5

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

11

Strana od-do

218-228

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85160988446