PT  - JOURNAL ARTICLE
AU  - Baidoo, Kwaku Boafo
TI  - Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine
DP  - 2022 Dec 31
TA  - European Journal of Business Science and Technology
PG  - 233--243
VI  - 8
IP  - 2
AID - 10.11118/ejobsat.2022.013
IS  - 23366494
AB  - In this paper, we empirically investigate the effect of short selling on market volatility during exogenously-induced uncertainties. Using the Covid-19 pandemic and the onset of the Russian-Ukraine Conflicts periods as event study, we employ the asymmetric EGARCH model. We show high persistence and asymmetric effects of market volatility during the pre-covid outbreak and post-covid outbreak periods. We find evidence that short selling increases market volatility during the pre-covid outbreak period while the period of the Russian-Ukraine conflict is characterized by reduced volatility. We find no evidence of short selling effect on market volatility during the post-covid outbreak period. Our findings provide significant implications for short-selling strategies during crisis periods.