시장상황별 주식공매도가 변동성에 미치는 질적 특성에 관한 연구

Abstract

The purpose of this paper is to make a research on the impact of short selling on volatility duringthe last 4 years when short selling was allowed by dividing the period into two periods when thestock market situation was different. The analysis period is divided as the period when short selling was permitted in 2009 June 1st~ 2011 August 9th (duration 1: the period when stock market volatility was relatively high) and2011 Nov. 10th and 2013 Nov. 22nd (duration 2: the period when stock market volatility wasrelatively low). During the research period, the portfolio was made through various methods by listing as pershort selling trading basis of the 100 stock items which were most actively traded in the KOSPImarket, and analysed what effects the daily short selling trade weight of the portfolio compriseditems brought to the daily stock earnings rate volatility comprised of portfolio comprised items. The analysis results are as follows: Firstly, in the case the analysis is made by the total periodof each duration, when the portfolio was made up with high trading rate short selling in only duration1, the short selling trading weight gave a plus(+) impact to the stock earnings rate volatility. Secondly, when the analysis was made upon each durations as per the portfolio's daily stockearnings rate in (-) days, in duration 1 even when the portfolio was comprised of upper 100 items,and the short selling trade weight gave an impact to the stock earnings rate volatility to be plus(+),in case of duration 2, the short selling trade weight gave a plus(+) impact to the stock earningsrate volatility when the portfolio was comprised by the upper most active short selling 10 items. Thirdly, when the analysis on each duration was made by the portfolio as per the daily stockearnings rate in plus (+) days, in duration 1 the short selling trade weight did not bring any impactto the stock earnings rate volatility. However, in duration 2 when the portfolio was comprised of high trading short selling items,the short selling trade weight gave a minus (-) impact to the stock earnings rate. Eventually, when the volatility of the stock market is relatively high and when the portfolio ismade up of items that were traded actively in short selling, as the short selling trading weight increases short selling volatility gets higher and its impact is more bigger when the stocks earnings rate isminus (-). In the case the stocks earning rate is plus(+), the short selling trading weight does notgive an impact to the stock earnings rate volatility. On the other hand, in the period when the stock market volatility is relatively low, as the shortselling trade weight is higher the stock earnings rate volatility did not get higher, and even whenthe stocks earnings rate was minus(-), only when the short selling trade weight is comprised ofthe upper 10 items did the stocks earnings rate volatility get higher as the short selling trade weightgot higher. Also, when the stocks earnings ratio turned into plus(+) and when the portfolio was made byactive short selling trade items, it turned out that the volatility of stocks earnings rate was lowas the short selling trade weight increased.