Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity
| Autor: | Egle Karmaziene, Valeri Sokolovski |
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| Přispěvatelé: | Finance |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: | |
| Zdroj: | Karmaziene, E & Sokolovski, V 2019 ' Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity ' Swedish House of Finance Research Paper Series, SSRN . < https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2901916 > Vrije Universiteit Amsterdam |
| Popis: | We examine short selling of equity exchange traded funds (ETFs) using the September 2008 short-sale ban. Contrasting the previously-documented contractions in other bearish strategies, we demonstrate that during the ban the short sales of the largest and the most liquid ETF, the S&P 500 Spider, significantly increased. We offer evidence that it was driven primarily by short sellers circumnavigating the ban. We also document a concurrent increase in the supply of ETF shares suggesting that they can be created to accommodate short-sales. Additionally, we show that the detrimental effect of regulatory short-sale constraints on stock liquidity was up to 10% less severe for the constituents of the Spider. Our results suggest that short-sales of ETFs are a viable substitute for directional short-sales of individual stocks. They also highlight a novel channel through which ETFs can have a positive effect on the liquidity of its underlying securities. |
| Databáze: | OpenAIRE |
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