This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities, rather than the daily price movements. We demonstrate that the effects of short selling activity change during the two sessions of the day and...

The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in the US financial markets. After a decade of the so-called subprime crisis, the impact of market news on asset volatilities increased significantly. Consequently, return and...