CAUSALITY TESTS OF SHORT SALES ON THE NEW-YORK-STOCK-EXCHANGE

被引：2

作者：

BHATTACHARYA, AK ^{[1
]}

GALLINGER, GW ^{[1
]}

机构：

[1] ARIZONA STATE UNIV, TEMPE, AZ 85287 USA

来源：

JOURNAL OF FINANCIAL RESEARCH | 1991年 / 14卷 / 03期

关键词：

D O I：

10.1111/j.1475-6803.1991.tb00665.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Published statistics on short sales of stock are used by investors as a technical indicator of market timing. Research on this topic is mixed. Findings in this article rely on causality tests that use white noise residuals generated from time‐series analysis of short sales. Results indicate that specialists' short sales lead short sales of other investors, but these other investors are unable to take advantage of the information because a time lag exists in the published data. © The Southern Finance Association and the Southwestern Finance Association

引用

页码：277 / 286

页数：10

共 14 条

[1] FITTING AUTOREGRESSIVE MODELS FOR PREDICTION [J].