• Login
    View Item 
    •   Vlerick Repository Home
    • Research Output
    • Articles
    • View Item
    •   Vlerick Repository Home
    • Research Output
    • Articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of Vlerick RepositoryCommunities & CollectionsPublication DateAuthorsTitlesSubjectsKnowledge Domain/IndustryThis CollectionPublication DateAuthorsTitlesSubjectsKnowledge Domain/Industry

    My Account

    LoginRegister

    Contact & Info

    ContactVlerick Journal ListOpen AccessVlerick Business School

    Statistics

    Display statistics

    Short selling in extreme events

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Name:
    Publisher version
    View Source
    Access full-text PDFOpen Access
    View Source
    Check access options
    Check access options
    Publication type
    Journal article with impact factor
    Author
    Geraci, Marco Valerio
    Garbaravicius, Tomas
    Veredas, David
    Publication Year
    2018
    Journal
    Journal of Financial Stability
    Publication Volume
    39
    Publication Issue
    December
    Publication Begin page
    90
    Publication End page
    103
    
    Metadata
    Show full item record
    Abstract
    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.
    Keyword
    Short selling, Tail correlation
    Knowledge Domain/Industry
    Accounting & Finance
    DOI
    10.1016/j.jfs.2018.09.004
    URI
    http://hdl.handle.net/20.500.12127/6053
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.jfs.2018.09.004
    Scopus Count
    Collections
    Articles

    entitlement

     
    DSpace software (copyright © 2002 - 2022)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.