지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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This study aims to investigate the effect of short selling restrictions imposed by the Korean government back in 2008 and 2011, on stock returns and their distributions, arbitrage possibilities between KOSPI 200 (KOrea Stock Price Index 200) spot and futures markets, transaction costs, and the size of no-arbitrage band with a 3-regime threshold vector error correction model. Sample period (from April 28, 2003 to May 18, 2012) is divided into 5 sub-samples. Among them, sub-samples 2 and 4 are under short selling restriction. Results are as follows. First, increased volatilities of stock returns are witnessed in short selling restriction periods. On the other hand, the extremely negative returns infrequently appear under short selling restrictions. The latter can indicate the effectiveness of short selling restrictions, but further analyses are needed to figure out the net effect of our government policy on market stability in terms of stock return volatility. Second, the highest transaction cost has been found at the undervaluation regime of KOSPI 200 futures prices of sub-sample 2, and the undervaluation regimes of KOSPI 200 futures prices tend to have higher transaction costs than the overvaluation regimes. Third, sub-sample 2 has the greatest size of ‘no-arbitrage band,’ which indicates the severe limitation of arbitrage profits. The great difficulties to perform a ‘short stock-long futures arbitrage strategy’ due to short selling restrictions can be the main cause. Fourth, arbitrage profits are really low during the period of short selling restrictions but the rare opportunities for making profit can be captured by ‘informed traders’ who are willing to pay very high transaction costs. The other periods are easily targeted by arbitragers.
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참고문헌 (28)
참고문헌 신청
[학술지(정기간행물)] -
Asquith, P. / 1996 / An Empirical Investigation of Short Interest
Asquith, P. / 2005 / Short Interest, Institutional Ownership, and Stock Returns / Journal of Financial Economics 78 (2) : 243 ~ 276
Boehmer, E. / 2013 / Shackling Short Sellers: The 2008 Shorting Ban / Review of Financial Studies 26 (6) : 1363 ~ 1400
Boulton, T. / 2009 / The Skinny on the 2008 Naked Short Sale Restrictions
Asquith, P. / 1996 / An Empirical Investigation of Short Interest
Asquith, P. / 2005 / Short Interest, Institutional Ownership, and Stock Returns / Journal of Financial Economics 78 (2) : 243 ~ 276
Boehmer, E. / 2013 / Shackling Short Sellers: The 2008 Shorting Ban / Review of Financial Studies 26 (6) : 1363 ~ 1400
Boulton, T. / 2009 / The Skinny on the 2008 Naked Short Sale Restrictions
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