The Relation between the Short Interest of ETF and its Subsequent Performance
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | ROLE OF FINANCIAL SECTOR IN SUPPORTING THE ECONOMIC RECOVERY OF CEE COUNTRIES, 8TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | abnormal return; short sale; ETFs |
| Description | The aim of this paper is to investigate the relation between the level of short sale with ETFs and the subsequent performance of these products. Theoretically, there are two approaches for analysing of this problem. The representatives of the older approach consider that the increasing level of the short sale is an indicator of the bearish market and overall bearish sentiment in the market. That is also reason why short sale was limited for several times in the history as a market practice. Technical analysts, who consider growing short sale level as an indicator of the bullish market, represent the other attitude. Since all open positions must be closed in the future and then the instruments must be bought in the future. Thus, the short sale represents potential demand in the short future. The investigation is carried out in four markets in the period 2000 - 2012. The impact of the short sale level on the subsequent performance is investigated in the following 1, 3 and 6 month's period. The performance of ETFs is measured by abnormal return (AR) and the statistical significance between abnormal return of portfolios with different short sale level is found out. |
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