The determinants of ETFs short selling activity

Authors

DEEV Oleg LINNERTOVÁ Dagmar

Year of publication 2014
Type Article in Proceedings
Conference Procedia Social and Behavioral Sciences
MU Faculty or unit

Faculty of Economics and Administration

Citation
Doi http://dx.doi.org/10.1016/j.sbspro.2013.12.526
Field Management and administrative
Keywords Exchange traded funds; short selling
Description Short selling of exchange-traded funds has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. The study determines specific characteristics of globally available ETFs, which influence the level of short interest, such as trading volume, price stability, market capitalization, expense ratio, geographical focus, investment strategy and the availability of derivatives for the underlying index. (C) 2014 The Authors. Published by Elsevier Ltd.
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