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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00074878" target="_blank" >RIV/00216224:14560/14:00074878 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Analysis of Factors Influencing the ETFs Short Sale Level in the US Market
Original language 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.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING
ISBN
9788072489398
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
233-241
Publisher name
SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA
Place of publication
KARVINA
Event location
Ostrava, CZECH REPUBLIC
Event date
Oct 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000345575000027

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