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Soonho Kim
''Effect of Short Selling on Market Liquidity, Price, and Volatility: A Dynamic Perspective''
( 2020, Vol. 40 No.4 )
In order to verify the effect of short selling activities on market efficiency, volatility, and price, I conduct the Granger causality test, impulse response analysis, and variance decomposition using a vector autoregressive model. Empirical tests show that short selling enhances market efficiency by reducing trading costs. On the other hand, short selling does not significantly increase stock volatility or decrease prices. This study verifies that short selling improves market quality without a negative effect on volatility and price.
Keywords: short selling, market efficiency, volatility, stock price
Manuscript Received : Aug 10 2020 Manuscript Accepted : Nov 30 2020

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