20160330-三星证券-Stock_lending_and_short_selling_20页_2mb

Securities Lending and Short Selling Summary

Core Content

This document provides an overview of securities lending balances (SLBs) and short selling activity in the Korean stock market, focusing on the Kospi and Kosdaq indices, as well as specific sectors and stocks. It highlights trends, performance metrics, and institutional activity related to these financial instruments.

Main Points

• Securities Lending Trends:

  • SLBs for both Kospi and Kosdaq indices lost momentum last week due to slower uptrends in stock markets.
  • Mid-cap indices rose by 2.9% since end-February, leading to a pullback in mid-cap SLBs from their year-to-date (YTD) high.
  • Large-cap indices rose by 4.5% and 4% for Kospi and Kosdaq, respectively, keeping their SLBs at YTD highs.

• Sector Analysis:

  • SLB as a percentage of market cap increased in the healthcare and steel sectors but fell in the shipbuilding and hotel & leisure sectors.
  • Shorting as a portion of trading volume decreased across all sectors except consumer staples.

• Top Stocks by SLB and Short Interest:

  • Kospi Large Caps: Taihan Electric Wire, CJ, Hankook Tire, Korea Investment Holdings, LG Innotek, Kepco KPS, and others showed high short interest and SLB.
  • Kospi Mid-Caps: Lotte Fine Chemical, Korean Re, Mirae Asset Life Insurance, and others were noted for significant SLB and short interest.
  • Kosdaq 100: Celltrion, Paradise, Wonik IPS, and others had notable SLB and short selling activity.

• High Repayment Pressure:

  • Stocks under high short-term SLB repayment pressure include KT&G, Hanwha Life, Samsung Life Insurance (Kospi large caps); Skylife, Yungjin Pharmaceutical, Iljin Holdings (Kospi mid-caps); and Medipost, Amicogen, i-SENS (Kosdaq large caps).

• SLB as a Percentage of Free Float:

  • Some stocks, such as Samsung Heavy Industries, Cosmax, and Kakao, reached three-year highs in SLB as a percentage of free float.

Key Information

• Short Interest:

  • Short interest is calculated as the ratio of 20-day average short interest to 5-day average short interest.
  • High short interest may indicate a potential reversal in rising stocks or a further decline in falling stocks.

• Short Interest Ratio:

  • This ratio represents short interest as a percentage of trading volume.
  • Stocks with high short-interest ratios are likely to face greater short selling pressure.

• SLB as a Percentage of Outstanding Shares:

  • This metric helps estimate the potential return of borrowed shares.
  • Comparing current levels with 52-week highs can indicate future SLB movements.

• Most Heavily Borrowed Shares:

  • Calculated as the ratio of 20-day average newly borrowed shares to 5-day average.
  • High levels suggest strong short-selling pressure.

• Most Returned Shares:

  • Stocks with high volumes of returned shares and high SLB as a percentage of outstanding shares are likely to experience more returns.

Summary Table

Institutional Activity

• Institutional net buying is reported for both domestic and foreign investors.
• Some stocks showed strong domestic buying while others had significant foreign buying.

Conclusion

The report indicates a mixed trend in securities lending and short selling activity across different sectors and stock indices. While some sectors like healthcare and steel saw increased SLB levels, others like shipbuilding and hotel & leisure saw declines. The data highlights stocks under high short selling pressure and those with significant institutional activity, providing insights into market sentiment and potential future movements.