The evidence is mixed regarding the role of short sellers on stock market efficiency, with the majority of studies assessing short selling activities during abnormal market conditions. This study investigates the effect of short selling on stock volatility during normal market conditions in the Australian stock market using various proxies for volatility and trading activities. While short volume does not supplant the number of trades in the volume and volatility relationship, our results suggest that short selling has some incremental positive effects on volatility. Overall, our vector autoregression (VAR) analysis suggests that trading by short sellers increases volatility even during normal market conditions.

JEL Classification: G10, G12, G13

关于卖空者对股票市场效率的作用的证据不一，大多数研究评估了异常市场情况下的卖空活动。这项研究使用各种波动率和交易活动的代理调查了在澳大利亚股市正常市场条件下卖空对股票波动性的影响。虽然卖空交易量不会取代交易量与交易量和波动率之间的关系，但我们的结果表明，卖空交易对波动率有一定的增量积极影响。总体而言，我们的向量自回归（VAR）分析表明，即使在正常的市场条件下，卖空者的交易也会增加波动性。

JEL分类：G10，G12，G13