First Faculty Advisor
A. Can Inci
investments; short squeeze; technical analysis; fundamental analysis; Volatility
A short squeeze is a phenomenon in the stock market that occurs when the price of a security surges drastically higher over a short period of time. The main known cause of a short squeeze is due to short sellers aggressively covering their positions creating a short-term artificial increase in the demand for a given stock. The purpose of the present study is to determine whether the stock return volatility of a short squeeze can be forecasted using variables such as trade volume, price patterns, short interest, market capitalization, and a stock’s outstanding shares. The study attempts to determine which of these variables has the strongest association to the largest price fluctuations in historical examples of short squeezes. Finally, this study seeks to analyze how these variables can be used to generate a short-term model to assist in forecasting the size of a potential short squeeze.