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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Bibliographic Details
Main Author:	Mohamad, Azhar
Format:	Conference or Workshop Item
Language:	English English
Published:	2013
Subjects:	HG4501 Stocks, investment, speculation
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

id	iium-32664
recordtype	eprints
spelling	iium-326642013-11-12T05:30:08Z 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 Conference or Workshop Item 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 (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Mohamad, Azhar Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence
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	Conference or Workshop Item
author	Mohamad, Azhar
author_facet	Mohamad, Azhar
author_sort	Mohamad, Azhar
title	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_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_sort	is shorting of exchange traded funds a dangerous financial sport? recent uk evidence
publishDate	2013
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
first_indexed	2023-09-18T20:47:10Z
last_indexed	2023-09-18T20:47:10Z
_version_	1777409751886331904

Is shorting of Exchange Traded Funds a dangerous financial sport? recent UK evidence

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