Impact of macroeconomic indicators on short selling: evidence from the Tokyo stock exchange

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dc.citation.epage301en_US
dc.citation.spage287en_US
dc.contributor.authorSolakoğlu, M. Nihaten_US
dc.contributor.authorOrhan, Mehmeten_US
dc.contributor.editorGregoriou, G. N.
dc.date.accessioned2018-04-12T13:37:38Z
dc.date.available2018-04-12T13:37:38Z
dc.date.issued2012en_US
dc.departmentDepartment of Banking and Financeen_US
dc.description.abstractThis chapter examines the existence of cointegration between short selling volume and the Nikkei 225 Index to investigate the permanent relation between the two. For this purpose, the Japanese financial markets with monthly data from November 2005 to October 2009 were examined to document if a causality relation exists between short selling volume and macroeconomic variables, such as GDP, bond yield, and exchange rate, as well as the Nikkei 225 Index. Given the characteristics of Japanese short sellers, it is expected that a causal relationship exists between macroeconomic variables and short selling volume, which indicates that Japanese short sellers are informed traders. Based on this finding, it can also be assumed indirectly that the tipping hypothesis does not apply to Japanese short sellers. In addition, the existence of cointegration between short selling volume and the Nikkei 225 Index are investigated to determine whether a long run relationship exists between the two. The study found that the short selling volume, the Nikkei 225 Index, and the exchange rate have unit roots and are thus nonstationary; however, the bond yield rate is stationary. Using the Granger causality test, it also showed bidirectional causality between short selling volume and the Nikkei 225 Index. However, there is no causality between short selling volume and GDP, as well as bond yield rate. The findings also document that exchange rate Granger causes a short selling volume, but short selling volume does not Granger cause exchange rate. These findings thus indicate that the short sellers' information set contains the Nikkei 225 Index and exchange rate movements, but not macro fundamentals. The results also document the permanent long run relationship between short selling volume and the Nikkei 225 Index. © 2012 Elsevier Inc. All rights reserved.en_US
dc.description.provenanceMade available in DSpace on 2018-04-12T13:37:38Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 179475 bytes, checksum: ea0bedeb05ac9ccfb983c327e155f0c2 (MD5) Previous issue date: 2012en
dc.identifier.doi10.1016/B978-0-12-387724-6.00019-2en_US
dc.identifier.isbn9780123877246
dc.identifier.urihttp://hdl.handle.net/11693/37777
dc.language.isoEnglishen_US
dc.publisherElsevier Inc.en_US
dc.relation.ispartofHandbook of short selling
dc.relation.isversionofhttp://dx.doi.org/10.1016/B978-0-12-387724-6.00019-2en_US
dc.subjectAugmented Dickey-Fuller testen_US
dc.subjectBond yielden_US
dc.subjectConsumer price indexen_US
dc.subjectExchange rateen_US
dc.subjectGranger testen_US
dc.subjectGross domestic producten_US
dc.subjectInterest rateen_US
dc.subjectMacroeconomic indicatorsen_US
dc.subjectNikkei 225 indexen_US
dc.subjectOutputen_US
dc.titleImpact of macroeconomic indicators on short selling: evidence from the Tokyo stock exchangeen_US
dc.typeBook Chapteren_US

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