CAUSALITY TESTS OF SHORT SALES ON THE NEW YORK STOCK EXCHANGE

Anand K. Bhattacharya, George W. Gallinger

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

Published statistics on short sales of stock are used by investors as a technical indicator of market timing. Research on this topic is mixed. Findings in this article rely on causality tests that use white noise residuals generated from time‐series analysis of short sales. Results indicate that specialists' short sales lead short sales of other investors, but these other investors are unable to take advantage of the information because a time lag exists in the published data.

Original languageEnglish (US)
Pages (from-to)277-286
Number of pages10
JournalJournal of Financial Research
Volume14
Issue number3
DOIs
StatePublished - 1991

ASJC Scopus subject areas

  • Accounting
  • Finance

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