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The impact of short selling on stock returns and volatility: Evidence from the Dutch stock market

Velde, Jarno van der (2019) The impact of short selling on stock returns and volatility: Evidence from the Dutch stock market.

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Abstract:This study examines the impact of short selling on individual stock returns and stock volatility in the Netherlands. A sample consisting of 1066 observed short positions in 38 companies listed on the Dutch stock exchange is used. The sample period runs from 2 January 2017 to 29 December 2017. An OLS regression is used to test the impact of short selling on stock returns and volatility over different time periods of 5, 10 and 22 days. There is no significant statistical evidence to suggest that short selling decreases abnormal stock returns or that short selling increases stock volatility. There is even some evidence suggesting that short selling decreases stock volatility. Finally, a statistically significant relationship is found between multiple short positions in a specific time period and the returns and volatilities of that time period. This indicates that multiple short positions occurring in a short time period has a significant impact on the returns and volatility levels of that specific time period.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Business Administration MSc (60644)
Link to this item:http://purl.utwente.nl/essays/79723
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