Showing 1 - 10 of 6,467
Using daily equity lending data, I find that short sales lead to significant price pressure, consistent with inelastic short-term demand curves for stocks. Because short sales and returns are endogenously determined, I use an instrumental variables framework to identify their relation....
Persistent link: https://www.econbiz.de/10013051979
We investigate the impact of short selling activity on trading activity and price volatility in the U.S corporate bond market. Consistent with prior literature, we find that investors use short selling as a platform to express their difference of opinions. In addition, we find that the positive...
Persistent link: https://www.econbiz.de/10012912758
Short sellers have been routinely blamed for triggering, or exacerbating, stock market declines. The experience of Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series framework due to the length of time the short selling ban...
Persistent link: https://www.econbiz.de/10013125910
This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some -- but not all -- domestic stocks, without affecting the short-selling ability...
Persistent link: https://www.econbiz.de/10013083678
This paper investigates two issues: whether there is heterogeneity for fund managers as investors and whether there is asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return data from 2002 to 2008 are used to determine these...
Persistent link: https://www.econbiz.de/10011281956
A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....
Persistent link: https://www.econbiz.de/10013092291
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...
Persistent link: https://www.econbiz.de/10013089256
The authors analyze financial interactions between chartists with bounded leverage and fundamentalists within a heterogeneous agent model, focusing on the role of fundamentalists to stabilize prices. While many related studies are solely based on simulations, the authors analytically prove that...
Persistent link: https://www.econbiz.de/10012118250
The authors analyze financial interactions between fundamentalists and chartists within a heterogeneous agent model, focusing on the role of fundamentalists stabilizing prices. In contrast to related studies, which are based on simulations and calculations, they analytically prove that the...
Persistent link: https://www.econbiz.de/10011963816
Persistent link: https://www.econbiz.de/10014580428