Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence
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 in...
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| Format: | Proceeding Paper |
| Language: | English English |
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2013
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| Online Access: | http://irep.iium.edu.my/32664/ http://irep.iium.edu.my/32664/1/Revised_ETF10.pdf http://irep.iium.edu.my/32664/3/BAFA_2013_Annual_Conference_Acceptance.pdf |
| _version_ | 1848780604852666368 |
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| author | Mohamad, Azhar |
| author_facet | Mohamad, Azhar |
| author_sort | Mohamad, Azhar |
| building | IIUM Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T15:36:19Z |
| format | Proceeding Paper |
| id | iium-32664 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T15:36:19Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-326642021-07-23T07:20:24Z http://irep.iium.edu.my/32664/ Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence Mohamad, Azhar HG4501 Stocks, investment, speculation 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. 2013 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/32664/1/Revised_ETF10.pdf application/pdf en http://irep.iium.edu.my/32664/3/BAFA_2013_Annual_Conference_Acceptance.pdf Mohamad, Azhar (2013) Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence. In: BAFA 2013 Annual Conference , 9 - 11 April 2013, Newcastle, UK. (Unpublished) |
| spellingShingle | HG4501 Stocks, investment, speculation Mohamad, Azhar Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title | Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title_full | Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title_fullStr | Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title_full_unstemmed | Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title_short | Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence |
| title_sort | is shorting of exchange traded funds a dangerous financial sport? recent uk evidence |
| topic | HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/32664/ http://irep.iium.edu.my/32664/1/Revised_ETF10.pdf http://irep.iium.edu.my/32664/3/BAFA_2013_Annual_Conference_Acceptance.pdf |