"Short" di sini mengacu pada praktek investor saham menjual saham yang tidak dimiliki dengan asumsi harga akan turun di kemudian hari, sehingga dapat memperoleh keuntungan sebelum harga turun. Saham tersebut biasanya meminjam pada sekuritas/broker pasar modal.

Apa pun yang terjadi, baik harga naik atau turun, investor tetap diwajibkan membayar saham yang di-short kepada sekuritas. Praktek short ini setahu saya dilarang di Indonesia oleh Bapepam-LK (sekarang OJK).

Referensi:

http://en.wikipedia.org/wiki/Short_(finance)
In finance short selling (also known as shorting or going short) is the practice of selling securities or other financial instruments that are not currently owned, with the intention of subsequently repurchasing them ("covering") at a lower price.

http://www.investopedia.com/terms/s/short.asp
Definition of 'Short (or Short Position)'
1. The sale of a borrowed security, commodity or currency with the expectation that the asset will fall in value.

2. In the context of options, it is the sale (also known as "writing") of an options contract.

Opposite of "long (or long position)."