Autocorrelation in Daily Short-Sale Volume
36 Pages Posted: 29 Aug 2008 Last revised: 23 Jul 2014
Date Written: March 4, 2013
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
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