TY - JOUR
T1 - CAUSALITY TESTS OF SHORT SALES ON THE NEW YORK STOCK EXCHANGE
AU - Bhattacharya, Anand K.
AU - Gallinger, George W.
PY - 1991
Y1 - 1991
N2 - 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.
AB - 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.
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U2 - 10.1111/j.1475-6803.1991.tb00665.x
DO - 10.1111/j.1475-6803.1991.tb00665.x
M3 - Article
AN - SCOPUS:84986483919
VL - 14
SP - 277
EP - 286
JO - Journal of Financial Research
JF - Journal of Financial Research
SN - 0270-2592
IS - 3
ER -