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Article Dans Une Revue Research in International Business and Finance Année : 2023

Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices

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Can a short-squeeze incident trigger financial contagion over heavily shorted companies? The recent GameStop frenzy provides a unique natural experiment to explore this question. This study examines the static and dynamic return and volatility connectedness among the GameStop stock, the novel market-wide and sectoral short-interest indices, and the U.S. stock market. Contrary to anecdotal evidence, we find that the GameStop stock is not a net transmitter but a net recipient of return and volatility spillovers from other companies shorted in the market. This result agrees with the view that short-interest indices provide price discovery for shorted stocks. Therefore, although David might have won a battle against Goliath, he does not seem to win the war.
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hal-04583804 , version 1 (22-05-2024)

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David Aharon, Renatas Kizys, Zaghum Umar, Adam Zaremba. Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices. Research in International Business and Finance, 2023, 64, pp.101803. ⟨10.1016/j.ribaf.2022.101803⟩. ⟨hal-04583804⟩

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