G10 - General Financial Markets: General (includes Measurement and Data)Návrat zpět

This paper examines whether Borsa Istanbul (BIST) 100 index returns as well as individual stock returns are normally distributed and whether return distributions approach normal for longer return periods. Data include the daily aggregate market returns, i.e., BIST-100 index returns, and 9 firms' daily returns in 3 sectors, i.e. banking, automotive and holding. Data period is from 2004 to 2018Q1. Three types of normality tests, Shapiro-Wilk, Jarque-Bera and Kolmogorov-Smirnow were applied. The results showed that returns seemed to have leptokurtic distribution instead of normal distribution and as the return period increases, distribution of returns approached normal. This suggests that investors should not rely on the normality of returns assumption while evaluating risk for shorter return periods.

Short selling exchange-traded funds (ETFs) has become a common means of speculating or hedging in response to pessimistic expectations about a specific market or sector, as the short interest of ETFs is more than 10 times that of individual stocks, on average. The study determines the specific characteristics of globally available ETFs, which influence the level of short interest (such as trading volume, price stability, market capitalization, expense ratio, geographical focus, investment strategy and the availability of derivatives for the underlying index), and tests three most common short sale motivation hypotheses (overpricing, arbitrage and hedging and transaction costs). Using the monthly short interest ratio and the characteristics of ETFs traded in the US market, empirical evidence to support all three short sale motivation hypotheses is provided. The possibility of achieving abnormal returns based on previous levels of short sale is also tested.