Sobaci, Cihat; Sensoy, Ahmet; Erturk, Mutahhar - In: Journal of Financial Stability 15 (2014) C, pp. 53-62
With unique daily short sale data of Borsa Istanbul (stock exchange of Turkey), we investigate the dynamic relationship between short selling activity and volatility, liquidity and market return from January 2005 to December 2012 using a VAR(p)-cDCC-FIEGARCH(1,d,1) approach. Our findings suggest...