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Autocorrelation in Daily Short-Sale Volume

36 Pages Posted: 29 Aug 2008 Last revised: 23 Jul 2014

Benjamin M. Blau

Utah State University - Huntsman School of Business

Jason M. Smith

Utah State University

Date Written: March 4, 2013

Abstract

This study finds evidence of autocorrelation in daily short-sale volume. The degree of autocorrelation in short volume, however, is not driven by illiquid stocks or stocks that face short-sale constraints. Contrary to prior research that suggests that autocorrelation in total trade volume is explained by the flow of information into prices, our tests show that the information contained in short sales is decreasing in the level of autocorrelation. Further, we do not find that short sellers engage in stealth trading strategies indicating that stealth trading activity is not a necessary condition for the presence of autocorrelation in trading volume.

Keywords: short selling, autocorrelation

Suggested Citation

Blau, Benjamin M. and Smith, Jason M., Autocorrelation in Daily Short-Sale Volume (March 4, 2013). Available at SSRN: https://ssrn.com/abstract=1260356 or http://dx.doi.org/10.2139/ssrn.1260356

Benjamin M. Blau (Contact Author)

Utah State University - Huntsman School of Business ( email )

3500 Old Main Hill
Logan, UT 84322
United States

Jason M. Smith

Utah State University ( email )

Logan, UT 84322
United States

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