کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11263338 | 1701309 | 2018 | 40 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Short selling in extreme events
ترجمه فارسی عنوان
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی
We study the association between daily changes in short selling activity and financial stock prices during extreme events using TailCoR, a measure of tail correlation. For the largest European and US banks, as well as European insurers, we uncover a strong relation during exceptional (extreme) days and a weak relation during normal (average) days. Examining days with large increases in short positions and large downfalls in stock prices, we find evidence of both momentum and contrarian short selling taking place. For North American bank stocks, contrarian short selling appears more practiced than for European bank and insurance stocks. We find that the uncovered relationship decreases with firm size and increases during ban periods, which is in line with short selling becoming more informative when constrained.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 39, December 2018, Pages 90-103
Journal: Journal of Financial Stability - Volume 39, December 2018, Pages 90-103
نویسندگان
Marco Valerio Geraci, Tomas GarbaraviÄius, David Veredas,