Analysis of Factors Influencing the ETFs Short Sale Level in the US Market
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | short sale; short interest ratio; ETFs; determinants; US market |
| Description | Short sale is a market practice that allows making money if price of instruments goes down. There are four hypotheses that explain the motives for short-selling activity and also transaction costs are taking into account. The aim of this paper is to investigate factors that influence the short sale level with ETFs measured with short interest ratio (SIR) in the period 2000 - 2012 in the U.S. market and if main determinants of the short interest change during the time, respectively in a particular sub periods representing pre-, during and post-financial crisis. The determinants of SIR are investigated by using LSDV (Least Square Dummy Variable) model. As factors with negative affect result variables such as shares outstanding, volatility and expense ratio. On the other hand beta coefficient, replication strategy based on full replication and focusing of ETFs on a sector stocks are considered as factors with positive affect. According to results the factors influencing the SIR level are long term stable and only the power of their impact on the SIR level is changing during periods. |
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