20150819-三星证券-Short_Matrix__Securities_lending_and_short_balance_21页_3mb
报告摘要
Short Matrix Summary
Core Content
This document provides an analysis of securities lending and short selling activities in the Korean stock market, focusing on the Kospi large caps, midcaps, and Kosdaq 100. It highlights the trends and levels of securities lending balances (SLB), short interest, and short selling pressure across different sectors and stocks. The report also includes data on the correlation between SLB and stock performance, as well as institutional net buying activity.
Main Points
1. Securities Lending and Short Selling Trends
- Kospi Small and Mid Caps: Despite sharp corrections since August, the SLB for Kospi midcaps has increased to a year-to-date (ytd) high, while Kospi and Kosdaq large caps have seen significant shorting as a percentage of trading value.
- Short Selling Pressure: Shorting as a percentage of trading value has risen sharply across the board, with the financial and energy sectors experiencing the fastest growth in shorting.
- SLB as % of Market Cap: The SLB as a percentage of market cap has surged in the energy and media sectors, while the hotel/leisure sector has seen SLB hover near a ytd high.
- SLB Trends: For Kospi midcaps, the SLB has reached a ytd high, and for Kosdaq 100, the SLB is also trending upwards.
2. Top Stocks in Securities Lending and Short Interest
Kospi Large Caps
- Top Stocks by Short Interest: Macquarie Korea Infrastructure, Orion, AmoreG, Korean Air Lines, CJ Korea Express, Kangwon Land, SK Innovation, Daewoo Securities, Hanwha Chemical, KCC, etc.
- Top Stocks by SLB: Samsung Heavy Industries, OCI, Doosan Infracore, Hyundai Heavy Industries, DSME, Hotel Shilla, Doosan Corporation, etc.
- Top Stocks by Short Interest Ratio: Hotel Shilla, HVCC, etc.
- Top Stocks by Returned Shares: Kangwon Land, Coway, SK C&C, BGF Retail, Hyundai Industries D&C, etc.
Kospi Midcaps
- Top Stocks by Short Interest: Meritz Securities, Hyundai Merchant Marine, GS E&C, Kumho Tire, Hanjin Shipping, etc.
- Top Stocks by SLB: Hyundai Merchant Marine, GS E&C, etc.
Kosdaq 100
- Top Stocks by Short Interest: Paradise, Partron, Daum Kakao, Celltrion, Korea Real Estate Investment, etc.
- Top Stocks by SLB: Daum Kakao, Celltrion, etc.
Key Information
3. Sector Analysis
- Energy Sector: SLB as a percentage of market cap has soared, indicating strong shorting pressure.
- Media and Retail Sectors: SLB as a percentage of market cap has reversed course and started trending up.
- Hotel/Leisure Sector: SLB has hovered near a ytd high, showing significant shorting activity.
- Securities Sector: SLB as a percentage of market cap has continued to rise since May.
- Software and Semiconductor Sectors: SLB has declined, suggesting less shorting pressure.
4. Short Selling Concentration
- Short selling is concentrated in stocks ranked 1-10 (e.g., Daum Kakao, Paradise) and 51-60 (e.g., KCC).
- Stocks ranked 121-180 (e.g., Hana Tour Service, GS Engineering & Construction) are also under shorting pressure.
Institutional Activity
- Institutional Net Buying: The report shows both domestic and foreign institutional net buying activity, with some stocks experiencing strong inflows while others face outflows.
- Domestic vs. Foreign: Some stocks show a significant difference in buying activity between domestic and foreign institutions, indicating varying levels of confidence.
SLB vs Index Performance
- Kospi Large Caps: SLB trends are compared to index performance, showing that some stocks are outperforming or underperforming relative to the market.
- Kospi Midcaps: Similar comparisons are made, with SLB trends showing a contrast to index movements.
- Kosdaq 100: SLB trends are also analyzed against index performance, indicating different levels of shorting pressure.
Summary Table of Key Metrics
| Metric | Description | Notes |
|---|---|---|
| Short Interest | Short interest calculated by dividing 20-day average short interest by 5-day average | High values indicate potential price reversal |
| Short Interest Ratio | Short interest as a percentage of trading volume | High ratios suggest greater short selling pressure |
| SLB as % of Outstanding Shares | Indicates the proportion of shares borrowed relative to total shares | Helps estimate future SLB levels |
| Most Heavily Borrowed | Based on 20-day average newly borrowed shares | High values show strong shorting activity |
| Most Returned Shares | Based on 5-day average shares returned | High values may indicate a potential reversal in shorting pressure |
| SLB as % of Trading Volume | Indicates the intensity of shorting | High values suggest increased pressure |
Conclusion
The report highlights that while Kospi small and mid caps have corrected sharply, midcap SLB has surged to a ytd high, suggesting increased shorting pressure. The financial and energy sectors are under significant shorting pressure, and SLB as a percentage of market cap has increased across multiple sectors. Key stocks such as Samsung Heavy Industries, OCI, and Doosan Infracore are notable for their high SLB and short interest, while others like Kangwon Land and Coway are under high repayment pressure. Institutional buying activity varies significantly across stocks and sectors, indicating mixed market sentiment.
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