Since 2014
The Effects of Short Selling on Financial Markets Volatilities
European Journal of Business Science and Technology
View Archive Info| Field | Value | |
| Title |
The Effects of Short Selling on Financial Markets Volatilities
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| Creator |
Baidoo, Kwaku Boafo
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| 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.
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| Publisher |
Mendel University in Brno
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| Date |
2019-12-23
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/183
10.11118/ejobsat.v5i2.183 |
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| Source |
European Journal of Business Science and Technology; Vol 5 No 2 (2019); pp. 218–228
2694-7161 2336-6494 |
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| Language |
eng
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| Relation |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/183/173
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| Rights |
Copyright (c) 2019 Kwaku Boafo Baidoo
http://creativecommons.org/licenses/by-sa/4.0 |
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