Analysis of Factors Influencing the ETFs Short Sale Level in
the US Market

D 2014

Analysis of Factors Influencing the ETFs Short Sale Level in the US Market

LINNERTOVÁ, Dagmar

Základní údaje

Originální název

Analysis of Factors Influencing the ETFs Short Sale Level in the US Market

Autoři

LINNERTOVÁ, Dagmar

Vydání

KARVINA, PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING, od s. 233-241, 9 s. 2014

Nakladatel

SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Kód RIV

RIV/00216224:14560/14:00074878

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7248-939-8

UT WoS

000345575000027

Klíčová slova anglicky

short sale; short interest ratio; ETFs; determinants; US market

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 24. 4. 2015 14:11, Mgr. Daniela Marcollová

Anotace

V originále

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.

Návaznosti

MUNI/A/0753/2012, interní kód MU

Název: Evropské finanční systémy 2013 (Akronym: EFS)

Investor: Masarykova univerzita, Evropské finanční systémy 2013, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

LINNERTOVÁ, Dagmar. Analysis of Factors Influencing the ETFs Short Sale Level in the US Market. In Stavarek, D Vodova, P. PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING. KARVINA: SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA, 2014, s. 233-241. ISBN 978-80-7248-939-8.

@inproceedings{1139104,
   author = {Linnertová, Dagmar},
   address = {KARVINA},
   booktitle = {PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING},
   editor = {Stavarek, D Vodova, P},
   keywords = {short sale; short interest ratio; ETFs; determinants; US market},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {KARVINA},
   isbn = {978-80-7248-939-8},
   pages = {233-241},
   publisher = {SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA},
   title = {Analysis of Factors Influencing the ETFs Short Sale Level in the US Market},
   year = {2014}
}

TY  - CONF
ID  - 1139104
AU  - Linnertová, Dagmar
PY  - 2014
TI  - Analysis of Factors Influencing the ETFs Short Sale Level in the US Market
PB  - SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA
CY  - KARVINA
SN  - 9788072489398
KW  - short sale
KW  - short interest ratio
KW  - ETFs
KW  - determinants
KW  - US market
N2  - 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.
ER  -

LINNERTOVÁ, Dagmar. Analysis of Factors Influencing the ETFs Short Sale Level in the US Market. In Stavarek, D Vodova, P. \textit{PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING}. KARVINA: SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA, 2014, s.~233-241. ISBN~978-80-7248-939-8.

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