Short selling and exchange-traded funds returns: evidence from the London Stock Exchange

Mohamad, Azhar and Jaafar, Aziz and Goddard, John (2016) Short selling and exchange-traded funds returns: evidence from the London Stock Exchange. Applied Economics, 48 (2). pp. 152-164. ISSN 0003-6846 E-ISSN 1466-4283

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Abstract

An exchange-traded fund (ETF) is a security that tracks a basket of stocks. An ETF investor gains immediate exposure to the basket, by taking either a long or short position on this instrument. Both hedgers and speculators can short ETFs, making the informational content of increases in ETF short interest difficult to interpret. Using high-frequency (daily) short-interest data for ETFs traded on the London Stock Exchange between June 2006 and April 2010, we examine the price impact on ETFs of increases in short interest. Contrary to most of the previous empirical evidence for individual stocks, we find that large increases in ETF short interest are associated with subsequent over-performance relative to a benchmark index and this pattern is most pronounced during pre-financial crisis period.

Item Type:	Article (Journal)
Additional Information:	3334/44719 WOS = Q3, IF=0.613
Uncontrolled Keywords:	Short selling; short interest;exchange-traded funds;abnormal returns; hedging
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	15 Sep 2015 14:17
Last Modified:	13 Apr 2017 09:54
URI:	http://irep.iium.edu.my/id/eprint/44719

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