From: Steve Byan (steve@hi.com)
Date: March 16, 1995
Original source: Usenet's rec.radio.shortwave David Moore (davidm@rational.com) wrote:

ARRL says that one should use sheilded cable for a loop antenna with the sheild attached to ground and the core being used for the signal. This prevents the unit acting as a lumped arial responding to the electrostatic signal.

An electrostatic shield is one way to minimize the response of a loop to the E-field (good loop balance, and relatively small size compared to wavelength are other ways).
However, the ARRL advice to make loops out of shielded coax cable has a significant problem for SWLs and MW DXers: the shield adds considerable parasitic capacitance to the loop. This greatly reduces the tuning range of the loop for a reasonably-sized variable capacitor, because the minimum capacitance is fairly high and dominated by the parasitic capacitance of the loop.
The hams only have to deal with relatively narrow bands, covering a few hundred kiloHertz at most; something in the range of a 1.1 to 1 range in frequency from the bottom to top of the band. So amateur radio practice often uses narrow-band techniques that are not well-suited for SWL and MW DXing. The MW broadcast band covers a 3:1 frequency range!
If you do build a shielded loop, be sure to cut the shield at one point, or the loop won't pick up any signal at all.
By the way, contrary to a previous post, there is no need to use fine wire in a loop antenna. For an air-core medium wave or shortwave loop, 18 guage or so should be ideal. You don't want to go too small for the shortwave loop, like 30 guage, because the skin-effect will lead to significant parasitic resistance in the loop, which will reduce loop Q, and thus reduce loop output. Larger wire like 16 or 14 guage gets to be mechanically difficult to handle, but electrically will work just fine.