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

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 i...

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Main Authors:	Mohamad, Azhar, Jaafar, Aziz, Goddard, John
Format:	Article
Language:	English English English
Published:	Routledge Taylor & Francis 2016
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/1/Short_Selling_ETF_Applied_Economics.pdf http://irep.iium.edu.my/44719/8/47419_Short%20selling%20and%20exchange-traded_Scopus.pdf http://irep.iium.edu.my/44719/15/47419_Short%20selling%20and%20exchange-traded_wos.pdf

id	iium-44719
recordtype	eprints
spelling	iium-447192017-04-13T01:54:34Z http://irep.iium.edu.my/44719/ Short selling and exchange-traded funds returns: evidence from the London Stock Exchange Mohamad, Azhar Jaafar, Aziz Goddard, John 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. Routledge Taylor & Francis 2016-09-11 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44719/1/Short_Selling_ETF_Applied_Economics.pdf application/pdf en http://irep.iium.edu.my/44719/8/47419_Short%20selling%20and%20exchange-traded_Scopus.pdf application/pdf en http://irep.iium.edu.my/44719/15/47419_Short%20selling%20and%20exchange-traded_wos.pdf 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 http://www.tandfonline.com/loi/raec20 http://dx.doi.org/10.1080/00036846.2015.1076146
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Mohamad, Azhar Jaafar, Aziz Goddard, John Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
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.
format	Article
author	Mohamad, Azhar Jaafar, Aziz Goddard, John
author_facet	Mohamad, Azhar Jaafar, Aziz Goddard, John
author_sort	Mohamad, Azhar
title	Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
title_short	Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
title_full	Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
title_fullStr	Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
title_full_unstemmed	Short selling and exchange-traded funds returns: evidence from the London Stock Exchange
title_sort	short selling and exchange-traded funds returns: evidence from the london stock exchange
publisher	Routledge Taylor & Francis
publishDate	2016
url	http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/ http://irep.iium.edu.my/44719/1/Short_Selling_ETF_Applied_Economics.pdf http://irep.iium.edu.my/44719/8/47419_Short%20selling%20and%20exchange-traded_Scopus.pdf http://irep.iium.edu.my/44719/15/47419_Short%20selling%20and%20exchange-traded_wos.pdf
first_indexed	2023-09-18T21:03:34Z
last_indexed	2023-09-18T21:03:34Z
_version_	1777410784183189504

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

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