RT Journal Article
SR Electronic
A1 Baidoo, Kwaku Boafo
T1 Time-Varying Effect of Short Selling on Market Volatility During Crisis: Evidence from COVID-19 and War in Ukraine
JF European Journal of Business Science and Technology
YR 2022
VO 8
IS 2
SP 233
OP 243
DO 10.11118/ejobsat.2022.013
UL https://ejobsat.cz/artkey/ejo-202202-0006.php
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.