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- Title
The Clustering Of Short Sales on the NASDAQ.
- Authors
Deme, Mamit; Zhao, Kevin M.
- Abstract
We show that short selling activities for NASDAQ stocks are serially correlated. The clustering of short sales is more profound in small firms than in large firms. The majority of autocorrelation in daily short sales can be explained by autocorrelation in trading volume. While the rate of information arrival does not contribute to the autocorrelation in short sales, we find that the clustering of short sales is associated with "contrarian" short selling. Our results are consistent with the predicted short sale trading patterns suggested by theoretical and empirical researches on short sales.
- Publication
Journal of Financial & Economic Practice, 2013, Vol 13, Issue 1, p82
- ISSN
1937-6820
- Publication type
Academic Journal