The impact of short selling on intraday volatility: Evidence from the Istanbul stock exchange

ÇANKAYA S., Eken M. H., Ulusoy V.

International Research Journal of Finance and Economics, cilt.93, ss.202-212, 2012 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 93
  • Basım Tarihi: 2012
  • Dergi Adı: International Research Journal of Finance and Economics
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.202-212
  • Anahtar Kelimeler: Financial crises, Intraday volatility, Istanbul stock exchange, Market efficiency, Short selling
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

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 changes during the two sessions of the day and rest of trading hours. The study also presents evidence that there is a considerable amount of short selling activity in the Istanbul Stock Exchange (ISE), particularly at the beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day. © EuroJournals Publishing, Inc. 2012.