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Short sales in the NYSE batch open and NASDAQ opening cross

W. Paul Spurlin (Division of Business, Mississippi State University – Meridian, Meridian, Mississippi, USA)
Bonnie F. Van Ness (Department of Finance, University of Mississippi, University, Mississippi, USA)
Robert Van Ness (Department of Finance, University of Mississippi, University, Mississippi, USA)

International Journal of Managerial Finance

ISSN: 1743-9132

Article publication date: 22 June 2012

387

Abstract

Purpose

The purpose of this paper is to study short sales trading as part of the New York Stock Exchange (NYSE) batch open and National Association of Securities Dealers Automated Quotations (NASDAQ) opening cross. The paper examines whether short transactions at the open can predict future returns.

Design/methodology/approach

The study tests to see if short transactions in the NYSE opening batch trade and NASDAQ opening cross are informative of future returns.

Findings

It is found that a stock's opening‐trade short volume is predictive of its short volume for the rest of trading day, positively related to its previous‐day price change, and positively related to its overnight price change at the opening trade on option‐expiration Fridays when the stock is part of the Standard and Poor (S and P) 500 index.

Originality/value

While previous research shows that intraday short sale trades are informative, this is the first paper to examine the opening trade of the day, and whether these short sales are informative.

Keywords

Citation

Paul Spurlin, W., Van Ness, B.F. and Van Ness, R. (2012), "Short sales in the NYSE batch open and NASDAQ opening cross", International Journal of Managerial Finance, Vol. 8 No. 3, pp. 219-237. https://doi.org/10.1108/17439131211238879

Publisher

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Emerald Group Publishing Limited

Copyright © 2012, Emerald Group Publishing Limited

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