The effects of short selling on price discovery: A study for Borsa Istanbul
This paper investigates the effects of short selling on the price discovery process in Borsa Istanbul (BIST). First, we form a proxy of informational efficiency in the BIST and regress this on the short selling ratio and other control variables. Our results confirm the short selling improves informa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-06-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845020300533 |
| _version_ | 1811236080491429888 |
|---|---|
| author | Baki Cem Şahin Fatih Kuz |
| author_facet | Baki Cem Şahin Fatih Kuz |
| author_sort | Baki Cem Şahin |
| collection | DOAJ |
| description | This paper investigates the effects of short selling on the price discovery process in Borsa Istanbul (BIST). First, we form a proxy of informational efficiency in the BIST and regress this on the short selling ratio and other control variables. Our results confirm the short selling improves information efficiency. Second, we investigate the behavior of short sellers around extreme negative return days. Our findings are as follows: i) short selling increases before extreme negative returns, ii) short sellers don't exacerbate the price declines in that short selling declines on extreme negative return days, and iii) short selling volume increases in line with the size of the reversal after an extreme negative return. |
| first_indexed | 2024-04-12T12:02:50Z |
| format | Article |
| id | doaj.art-c2a11be0169541719e32f8aa21b39698 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T12:02:50Z |
| publishDate | 2021-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-c2a11be0169541719e32f8aa21b396982022-12-22T03:33:48ZengElsevierBorsa Istanbul Review2214-84502021-06-01212133138The effects of short selling on price discovery: A study for Borsa IstanbulBaki Cem Şahin0Fatih Kuz1Corresponding author.; Expert, Central Bank of Turkey, Istiklal C. No:10 Ulus, Ankara, TurkeyExpert, Central Bank of Turkey, Istiklal C. No:10 Ulus, Ankara, TurkeyThis paper investigates the effects of short selling on the price discovery process in Borsa Istanbul (BIST). First, we form a proxy of informational efficiency in the BIST and regress this on the short selling ratio and other control variables. Our results confirm the short selling improves information efficiency. Second, we investigate the behavior of short sellers around extreme negative return days. Our findings are as follows: i) short selling increases before extreme negative returns, ii) short sellers don't exacerbate the price declines in that short selling declines on extreme negative return days, and iii) short selling volume increases in line with the size of the reversal after an extreme negative return.http://www.sciencedirect.com/science/article/pii/S2214845020300533Information efficiencyShort sellingShort-selling ban |
| spellingShingle | Baki Cem Şahin Fatih Kuz The effects of short selling on price discovery: A study for Borsa Istanbul Borsa Istanbul Review Information efficiency Short selling Short-selling ban |
| title | The effects of short selling on price discovery: A study for Borsa Istanbul |
| title_full | The effects of short selling on price discovery: A study for Borsa Istanbul |
| title_fullStr | The effects of short selling on price discovery: A study for Borsa Istanbul |
| title_full_unstemmed | The effects of short selling on price discovery: A study for Borsa Istanbul |
| title_short | The effects of short selling on price discovery: A study for Borsa Istanbul |
| title_sort | effects of short selling on price discovery a study for borsa istanbul |
| topic | Information efficiency Short selling Short-selling ban |
| url | http://www.sciencedirect.com/science/article/pii/S2214845020300533 |
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