20160224-三星证券-Securities_lending_and_short_selling_20页_2mb

Summary of Securities Lending and Short Selling

Core Content

This document provides an overview of securities lending balances (SLBs) and short selling activity across the Korean stock market, focusing on the Kospi and Kosdaq indices. It includes data on the trends of SLBs, short interest, and short selling ratios, highlighting key sectors and stocks involved in these activities. The information is based on data from KRX and Samsung Securities, with the latest update as of February 23, 2020.

Main Points

• Securities Lending Trends:

  • SLBs for both Kospi and Kosdaq have reached year-to-date highs, driven by increased market volatility and anticipation of further corrections.
  • Growth in SLBs has been slowing since early February, but certain sectors like healthcare, securities, and cosmetics & apparel have hit record highs in SLB as a percentage of free float.
  • Shorting activity has surged in the energy sector but has declined in the financial sector after peaking in January.

• Key Stocks in Securities Lending and Short Selling:

  • Kospi Large Caps: Yuhan, Kogas, and Hankuk Tire Worldwide are among the top stocks with the highest absolute short interest. SK Telecom, Hyundai Marine & Fire, and MKIF have seen large increases in lending. Stocks under high repayment pressure include Hanssem, Mirae Asset Securities, and Orion.
  • Kospi Mid-Caps: Korea Kolmar, Hyundai Corporation, and Hansol Technics have high short interest. Stocks with large SLB increases include Samjin Pharmaceutical, Daishin Securities, and Samlip General Foods. High repayment pressure stocks include Donga Socio Holdings, Daesang, and Donga ST.
  • Kosdaq Large Caps: SBS Contents Hub, CJ E&M, and YG Entertainment have high short interest. Stocks with large SLB increases include Lumens, Eugene Tech, and InterPark INT. High repayment pressure stocks include CJ Freshway, Komipharm, and Mode Tour Network.

• SLB Relative to Market Cap:

  • The SLB-to-market cap ratio has increased in the energy sector and hit an all-time high in the cosmetics & apparel sector.
  • The shipbuilding sector's SLB-to-market cap ratio has dipped below its all-time high.
  • The ratio has been relatively stable for IT-related sectors.

• Short Selling as a Percentage of Trading Volume:

  • Short selling has spiked in the financial and energy sectors.
  • Short interest ratios indicate the level of short selling pressure on stocks, with higher ratios suggesting greater short selling activity.

• Sector and Stock Cross-Correlation:

  • The document outlines the cross-correlation between sub-sectors and individual stocks, indicating how different sectors and stocks are performing relative to each other.
  • It includes data on the Hui-Heubel ratios, which measure short selling pressure based on price movements and trading volume.

Key Information

• Short Interest: Calculated by the ratio of 20-day average short interest to 5-day average short interest. High short interest may indicate an approaching top for rising stocks or a further pullback for falling stocks.
• Short-Interest Ratio: Indicates short selling pressure as a percentage of trading volume.
• SLB as a Percentage of Outstanding Shares: Helps estimate the potential return of borrowed shares and the likelihood of short selling.
• Most Heavily Borrowed: Reflects the intensity of short selling, calculated by the ratio of 20-day average newly borrowed shares to 5-day average.
• Most Returned Shares: Indicates stocks that are likely to experience more returns due to high volumes of share returns.

Tables and Charts

• Kospi Large Caps SLB Trends: Shows SLB values over different time periods (3 months, 6 months, 1 year, 3 years, and current) in KRW billions.
• Kospi Large Caps SLB vs Index Performance: Charts showing the relationship between SLB and stock index performance.
• Kospi Large Caps SLB Relative to Market Cap: Data on the SLB as a percentage of market cap over different time frames.
• Kospi Mid-Caps SLB Trends and Performance: Similar data and charts for mid-cap stocks.
• Kosdaq 100 SLB Trends and Performance: Data and charts for the Kosdaq 100 index.
• Sector-wise SLB Trends: Charts and tables showing SLB trends by sector, including energy, shipbuilding, cosmetics & apparel, and others.

Conclusion

The document highlights the increasing activity in securities lending and short selling, particularly in the energy and financial sectors. It also notes that certain stocks and sectors are experiencing significant short selling pressure, while others are showing a rise in lending. These insights are valuable for investors and analysts to understand market dynamics and potential risks.