Browsing Economics and Finance Student Work by Author "Dang, Haily"
The effects of short selling on market efficiencyDang, Haily (2021)Using monthly data instead of daily data, I investigate the dynamic relationship between the short selling activity, market return, illiquidity and volatility of the NASDAQ 100 from February 2000 to December 2020. The findings suggest that high level of short selling can lower illiquidity and volatility. This relationship weakens during the financial crisis of 2008. The finding also suggests that the idea that short selling destabilizes the market is unfounded.