Do short sellers exacerbate volatility?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Glenn Kit Foong Ho ◽  
Sirimon Treepongkaruna ◽  
Chaiyuth Padungsaksawasdi
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Short Selling ◽  
Market Condition ◽  
Content Type ◽  
Short Sellers ◽  
Negative Effect ◽  
Dynamic Relationships ◽  
The Relationship ◽  
Abnormal Level

PurposeThis paper examines whether short sellers aggravate volatility in the Australian stock market by using five different realized volatility (RV) measures during a more stable period.Design/methodology/approachThe authors develop a measure to capture the abnormal level of short selling for each stock and examine the bivariate and trivariate dynamic relationships between abnormal short selling and five volatility measures: the RV, continuous and jump components of RV, upside and downside volatilities.FindingsOverall, the findings indicate a weak association between abnormal short selling and volatility. Where the relationships are significant, the authors generally find that lagged abnormal short selling is negatively associated with both upside and downside volatilities. In general, short selling does not drive or amplify the decline in stock prices.Originality/valueThis paper contributes to existing literature in various aspects. First, the authors offer evidence on the relationship between abnormal short selling and volatility in a general market condition while existing studies often found mixed results of the effects of short selling on volatility around extreme events. Second, the authors add to the literature on the volume-volatility relation by introducing abnormal short selling. Although abnormal short volume does not supplant the number of trades in the volume-volatility relation, it has some incremental, albeit negative, effect on volatility. Finally, the study provides further evidence for the debate on the desirability of short sellers in financial markets.

Accounting irregularities and failure to deliver

2014 ◽  
Vol 40 (8) ◽  
pp. 770-786 ◽  
Author(s):  
Naomi E. Boyd ◽  
Ann Marie Hibbert ◽  
Ivelina Pavlova
Keyword(s):  
Design Methodology ◽  
Institutional Ownership ◽  
Short Selling ◽  
Accounting Restatements ◽  
Content Type ◽  
Short Sellers ◽  
Naked Short Selling ◽  
The Relationship

Purpose – The purpose of this paper is to examine the relationship between naked short selling and accounting irregularities that cause a firm to issue a restatement. Design/methodology/approach – Using the level of abnormal fails-to-deliver as a proxy for naked short selling, the paper looks for evidence of increased naked short selling in anticipation of, as well as in response to these announcements. Findings – Larger firms and firms with a higher percentage of institutional ownership experience greater levels of fails prior to the announcement day, while smaller firms are more likely to be targets of naked short sellers after the announcement. The paper also finds that more transparent announcements are associated with more abnormal fails. Originality/value – This paper is the first research to study the relation between naked short selling and accounting restatements.

Heuristic biases in investment decision-making and perceived market efficiency

2018 ◽  
Vol 10 (1) ◽  
pp. 85-110 ◽  
Author(s):  
Syed Zulfiqar Ali Shah ◽  
Maqsood Ahmad ◽  
Faisal Mahmood
Keyword(s):  
Financial Markets ◽  
Market Efficiency ◽  
Negative Impact ◽  
Investment Decisions ◽  
Sampling Technique ◽  
Investment Strategy ◽  
Individual Investors ◽  
Content Type ◽  
Specific Investment ◽  
The Relationship

Purpose This paper aims to clarify the mechanism by which heuristics influences the investment decisions of individual investors, actively trading on the Pakistan Stock Exchange (PSX), and the perceived efficiency of the market. Most studies focus on well-developed financial markets and very little is known about investors’ behaviour in less developed financial markets or emerging markets. The present study contributes to filling this gap in the literature. Design/methodology/approach Investors’ heuristic biases have been measured using a questionnaire, containing numerous items, including indicators of speculators, investment decisions and perceived market efficiency variables. The sample consists of 143 investors trading on the PSX. A convenient, purposively sampling technique was used for data collection. To examine the relationship between heuristic biases, investment decisions and perceived market efficiency, hypotheses were tested by using correlation and regression analysis. Findings The paper provides empirical insights into the relationship of heuristic biases, investment decisions and perceived market efficiency. The results suggest that heuristic biases (overconfidence, representativeness, availability and anchoring) have a markedly negative impact on investment decisions made by individual investors actively trading on the PSX and on perceived market efficiency. Research limitations/implications The primary limitation of the empirical review is the tiny size of the sample. A larger sample would have given more trustworthy results and could have empowered a more extensive scope of investigation. Practical implications The paper encourages investors to avoid relying on heuristics or their feelings when making investments. It provides awareness and understanding of heuristic biases in investment management, which could be very useful for decision makers and professionals in financial institutions, such as portfolio managers and traders in commercial banks, investment banks and mutual funds. This paper helps investors to select better investment tools and avoid repeating expensive errors, which occur due to heuristic biases. They can improve their performance by recognizing their biases and errors of judgment, to which we are all prone, resulting in a more efficient market. So, it is necessary to focus on a specific investment strategy to control “mental mistakes” by investors, due to heuristic biases. Originality/value The current study is the first of its kind, focusing on the link between heuristics, individual investment decisions and perceived market efficiency within the specific context of Pakistan.

An Empirical Research on the Relationship between Real Estate Prices and Inflation

2011 ◽  
Vol 55-57 ◽  
pp. 1992-1996
Author(s):  
Tie Qun Li
Keyword(s):  
Real Estate ◽  
Stock Prices ◽  
Test Analysis ◽  
Social Demand ◽  
The Real Estate ◽  
Key Factor ◽  
Negative Effect ◽  
Labor Service ◽  
Real Estate Prices ◽  
The Relationship

The former researches referring to inflation and real estate prices concentrated mainly on the stock prices rather than the real estate prices. Owing to the enlarging ratio of real estate industry in national economy with each passing day, as well as the overheating real estate prices in recent years, the relationship between real estate prices and inflation is particularly vital to the monetary policy making for the monetary authorities. According to the test analysis of data from 2001 to 2009, it is found that real estate prices is Granger Cause of inflation while inflation is not the Granger Cause of real estate prices in this paper. Through the Effects of Wealth, Credit and Tobin, real estate prices drive the growth of social consumption and investments and expand the total social demand which possess an positive effect on inflation; nevertheless the rising of real estate prices causes the rising of currency for real estate purchasing, which, under the circumstance of that currency supply remains, will inevitably bring about the reduction of currency for other consumption and investments and restrain the total social demand which would mean a suppression of continuous rising of prices of other commodity and labor service. All these show that real estate also has a negative effect on inflation. The cancellations between the two effects make the long-term influence real estate bearing on inflation is not obvious. The experimental results indicate that when the price of real estate rises 1%, inflation only rises 0.058%. Consequently, a strict controlling of the amount of money issued is the key factor for keeping the over rapid rising of real estate prices from leading to inflation.

Characterizing response quantity on academic social Q&A sites: a multidiscipline comparison of linguistic characteristics of questions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lei Li ◽  
Anrunze Li ◽  
Xue Song ◽  
Xinran Li ◽  
Kun Huang ◽  
...  
Keyword(s):  
Information Needs ◽  
Function Words ◽  
Second Person ◽  
Content Type ◽  
Five Disciplines ◽  
Negative Effect ◽  
Academic Communication ◽  
High Level ◽  
The Impact ◽  
The Relationship

PurposeAs academic social Q&A networking websites become more popular, scholars are increasingly using them to meet their information needs by asking academic questions. However, compared with other types of social media, scholars are less active on these sites, resulting in a lower response quantity for some questions. This paper explores the factors that help explain how to ask questions that generate more responses and examines the impact of different disciplines on response quantity.Design/methodology/approachThe study examines 1,968 questions in five disciplines on the academic social Q&A platform ResearchGate Q&A and explores how the linguistic characteristics of these questions affect the number of responses. It uses a range of methods to statistically analyze the relationship between these linguistic characteristics and the number of responses, and conducts comparisons between disciplines.FindingsThe findings indicate that some linguistic characteristics, such as sadness, positive emotion and second-person pronouns, have a positive effect on response quantity; conversely, a high level of function words and first-person pronouns has a negative effect. However, the impacts of these linguistic characteristics vary across disciplines.Originality/valueThis study provides support for academic social Q&A platforms to assist scholars in asking richer questions that are likely to generate more answers across disciplines, thereby promoting improved academic communication among scholars.

The relationship between knowledge-based economy and fraudulent financial reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abbas Koolivand ◽  
Mahdi Salehi ◽  
Meysam Arabzadeh ◽  
Hassan Ghodrati
Keyword(s):  
Financial Markets ◽  
Financial Reporting ◽  
Fixed Effects ◽  
Stock Exchange ◽  
Fraudulent Financial Reporting ◽  
Content Type ◽  
Knowledge Based ◽  
Robust Testing ◽  
Knowledge Based Economy ◽  
The Relationship

Purpose This paper aims to assess the relationship between a knowledge-based economy and fraudulent financial reporting. Design/methodology/approach The study is descriptive-correlation based on published information from enlisted firms on the Tehran Stock Exchange during 2013–2019 with a sample of 178 firms (1,246 observations). The method used for hypothesis testing is linear regression using the panel data. Findings The results show that a knowledge-based economy is associated negatively and significantly with financial reporting. Moreover, robust testing has also examined the hypotheses (including fixed effects, OLS and t + 1) that confirmed the study’s preliminary results. Originality/value As the study was carried out in the emergent financial markets, like Iran, to figure out the relationship between knowledge-based economy and financial reporting, it can provide helpful information for the practitioners in this field.

The persistent effect of banking crises on investment and the role of financial markets

2014 ◽  
Vol 6 (1) ◽  
pp. 64-77 ◽  
Author(s):  
Felix Rioja ◽  
Fernando Rios-Avila ◽  
Neven Valev
Keyword(s):  
Financial Markets ◽  
Financial Development ◽  
Banking Crisis ◽  
Banking Crises ◽  
Output Growth ◽  
Long Term Effects ◽  
Content Type ◽  
Negative Effect

Purpose – While the literature studying the effect of banking crises on real output growth rates has found short-lived effects, recent work has focused on the level effects showing that banking crises can reduce output below its trend for several years. This paper aims to investigate the effect of banking crises on investment finding a prolonged negative effect. Design/methodology/approach – The authors test to see whether investment declines after a banking crisis and, if it does, for how long and by how much. The paper uses data for 148 countries from 1963 to 2007. Econometrically, the authors test how banking crises episodes affect investment in future years after controlling for other potential determinants. Findings – The authors find that the investment to GDP ratio is on average about 1.7 percent lower for about eight years following a banking crisis. These results are robust after controlling for credit availability, institutional characteristics, and a host of other factors. Furthermore, the authors find that the size and duration of this adverse effect on investment varies according to the level of financial development of a country. The largest and longer-lasting decrease in investment is found in countries in a middle region of financial development, where finance plays its most important role according to theory. Originality/value – The authors contribute by finding that banking crisis can have long-term effects on investment of up to nine years. Further, the authors contribute by finding that the level of development of the country's financial markets affects the duration of this decrease in investment.

Macroeconomic fundamentals, institutional quality and shadow economy in OIC and non-OIC countries

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shabeer Khan ◽  
Mohd Ziaur Rehman
Keyword(s):  
Shadow Economy ◽  
Random Effect ◽  
Generalized Method Of Moments ◽  
Institutional Quality ◽  
Estimation Methods ◽  
Full Sample ◽  
Content Type ◽  
Macroeconomic Fundamentals ◽  
Negative Effect ◽  
The Relationship

PurposeThe purpose of this paper is to analyze the relationship between macroeconomic fundamentals, intuitional quality and shadow economy.Design/methodology/approachBy utilizing data setspanning from 2004 to 2015 of 141 countries, the study has employed advanced panel technique, i.e. Generalized Method of Moments (GMM) method. In order to check consistency of the results, the study also used fixed effect and random effect for robustness.FindingsThe study finds that for the full sample, institutional quality has negative effect on shadow economy while macroeconomic fundaments effect shadow economy differently. After splitting the sample into Organization of Islamic Cooperation (OIC) and non-OIC countries subsamples, it observes same influence of macroeconomic fundaments and institutional quality on shadow economy, but the effect of macroeconomic fundaments and institutional quality on shadow economy is less observed for OIC countries. The results are found consistence by using different estimation methods.Originality/valueThe current literature has focused on estimating the size of shadow economy and literature linking the macroeconomic fundaments, institutional quality and shadow economy is scarce. Additionally, this study provides the evidence for cross comparison between OIC economies and non-OIC economies.

Teacher’s turnover intentions

2017 ◽  
Vol 31 (6) ◽  
pp. 828-842 ◽  
Author(s):  
Rabia Imran ◽  
Kamaal Allil ◽  
Ali Bassam Mahmoud
Keyword(s):  
Public Schools ◽  
Design Methodology ◽  
Affective Commitment ◽  
Turnover Intentions ◽  
Three Dimensions ◽  
Sultanate Of Oman ◽  
Continuance Commitment ◽  
Content Type ◽  
Negative Effect ◽  
The Relationship

Purpose The purpose of this paper is to explore the path of motivation leading to organizational commitment resulting in reduced turnover intentions (TIs). It examine the relationship between dimensions of motivation (amotivation, introjected regulations (IRs) and intrinsic motivation (IM)) with dimensions of commitment (affective, normative and continuance). Furthermore, it test the effect of these three dimensions of commitment on TIs. Design/methodology/approach A sample of 467 teachers working in public schools in Dhofar Governate in Sultanate of Oman was selected for the study. A path analysis was conducted to test the hypothesized model. Findings The analysis unveils that teacher’s TIs can be reduced with a right mix of motivation and commitment. Furthermore, amotivation is only linked to affective commitment and this linkage is positive; IRs positively affect continuance and normative commitment (NC); and IM positively affects affective commitment and NC. Moreover, a significant negative effect of affective, normative and continuance commitment is found on TIs. Originality/value This research sheds light on how motivation can indirectly affect TI through commitment. This study is of immense importance as it focuses on the education sector in Oman especially in Dhofar Governate.

Does a unique “T+1 trading rule” in China incur return difference between daytime and overnight periods?

2018 ◽  
Vol 8 (1) ◽  
pp. 2-20 ◽  
Author(s):  
Xundi Diao ◽  
Hongyang Qiu ◽  
Bin Tong
Keyword(s):  
Financial Markets ◽  
Short Selling ◽  
Trading Rule ◽  
Content Type ◽  
Index Futures ◽  
Linear Regression Technique ◽  
The Difference ◽  
Nonparametric Techniques ◽  
Return Difference ◽  
Practical Implications

Purpose The purpose of this paper is to examine the difference between the daytime (open-to-close) and overnight (close-to-open) returns of CSI 300 index and its derivative futures. Design/methodology/approach The paper explores the difference between the daytime and overnight time returns by using nonparametric techniques. Moreover, investigation on some factors such as short selling, trading rules, risks are made to seek the sources of the day and night effects based on a large number of empirical analysis. In the end, further analyses on daytime and overnight returns are given by the use of high-frequency data and linear regression technique. Findings The authors show that the daytime returns of CSI 300 index are no less than its overnight returns, while the daytime returns of CSI 300 index futures are no more than its overnight returns, even after removing the heteroscedasticity of the researched time series. Specifically, the PM returns (13:05 to close) play a quite important role in the intra-day time. The findings also suggest that the unique “T+1 trading rule” in China may be a reason that incurs the lower opening price in the morning and the higher closing price in the afternoon, resulting in the statistically significant differences between the daytime and overnight returns. Practical implications The findings are of great importance for investors to decide when to buy and sell stock and futures portfolios in Chinese financial markets. Originality/value This study empirically analyzes why there the higher daytime returns and the lower overnight returns exist in the Chinese stock markets from different aspects and contributes the existing literature on day and night effects because of periodic market closures.

Talent management under a big data induced revolution

2019 ◽  
Vol 57 (8) ◽  
pp. 2010-2031 ◽  
Author(s):  
Kaidi Zhang ◽  
Xiao Jia ◽  
Jin Chen
Keyword(s):  
Big Data ◽  
Servant Leadership ◽  
Boundary Conditions ◽  
Negative Relationship ◽  
Talent Management ◽  
Mediating Effect ◽  
Hierarchical Regression ◽  
Content Type ◽  
Negative Effect ◽  
The Relationship

PurposeThe emerging natures of big data – volume, velocity, variety, value and veracity – exert higher stress on employees and demand greater creativity from them, causing extreme difficulties in the talent management of organizations in the big data era. The purpose of this paper is to explore the effect of challenge stressors on creativity and the boundary conditions of the relationship.Design/methodology/approachMultisource data were collected including 593 followers and their 98 supervisors from organizations that are confronting a big data induced management revolution. Hierarchical regression analysis and bootstrapping analysis were used to test the mediation and moderation mechanism.FindingsThe results showed that job burnout mediated the negative relationship between challenge stressors and creativity and that this indirect effect was attenuated by an employee’s core self-evaluation (CSE) and servant leadership. In contrast, whether work engagement mediated the relationship between challenge stressors and creativity was contingent on the level of an employee’s CSE and servant leadership. Specifically, the mediating effect was significant only when an employee’s CSE or servant leadership was high.Originality/valueThe results contribute to our understanding of the relationship between challenge stressor and creativity in the big data era. Specifically, relying on the job demands–resources model, this study empirically opens the “black box” between challenge stressors and creativity by exploring two opposing intermediate mechanisms. In addition, this study reveals boundary conditions by investigating dispositional and contextual factors that can accentuate the positive effect while attenuating the negative effect of challenge stressors on employee creativity.

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