C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion ProcessesReturn

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.

Climate change poses a serious threat for aquacultural productivity. Employing the Autoregressive Distributed Lag (ARDL) model, this research aims to evaluate the economic impact of climate change on aquaculture in Vietnam, drawing on time series data from 1981 to 2013 and including aquaculture yield, acreage, investment, labor, temperature, rainfall, and damage costs to aquaculture caused by natural disasters. The results show that aquaculture yield depends not only on the current value of inputs, but also on their lag values and the yield itself. The results also show that rainfall, storm surges and tropical cyclones negatively affect aquaculture production. After any natural disaster, it takes at least two years to recover from the repercussions for productivity and return to the previous norm. To reduce the vulnerability of aquacultural communities, this study suggests that the state could establish a climate resilience fund specifically for small and medium-scale aquaculture farmers, providing special financial support for those affected by natural disasters.