공매도 금지 해제공시가 시장가치에 미치는 영향 –금융주를 중심으로-

Abstract

This paper investigates whether stock market reactions are affected by the announcement of financial market policy such as short sale ban abolishment and this announcement effect are affected by financial risks of the firms. As a result, we find that the deregulation policy such as short-selling ban abolishment is significantly related to the market value changes and firm's risk. Short-selling in South Korea was banned in October 1, 2008 in response to increased level of uncertainty and instability in the financial market sparked by the filing of Chapter 11 by Lehman Brothers Holdings Incorporated in September 15, 2008. However, the stabilization of volatility and uncertainty in the financial market restored the legality of short-selling of non-financial shares on 1st of June 2009. Also the short-selling ban was lifted on financial shares in November 14, 2013. We set the short-selling ban abolishment has significant effects on the market value of equity as the main hypothesis. Also, we consider that these effects are influenced by firm characteristics such as size and leverage. In order to test the hypothesis, we analyze announcement effects on the abolishment of short-selling ban on financial shares by observing the share prices and traded volumes in Korean stock market(November 13, 2013). Policy change in Korean financial market has good characteristics that are suitable to examine the value of equity of the firms following environmental policy changes. The empirical analysis is conducted through a normal event study. This study analyzes the cumulative abnormal return (CAR) of fifty financial firms that have implemented abolishment in 2013 and investigates the effect on stock price. The time horizon sets the announcement date as an event date and observes the performance of 10 days prior and after the disclosure date. The empirical results are summarized as follows: First, we find that the performances, measured in the rate of return, of financial shares under-perform the market. Second, the cumulative abnormal returns show positive relations with the size of the company but exhibit negative relations with the level of risk(beta). Third, the total trading volumes of financial shares are less than the market volume before and after the announcement date. These results are consistent with the view that the decrease in the expected rate of return due to policy change is more pronounced as the financial risk of the firm increases. Our results suggest that the depreciation of financial share prices is attributable for the decline in volume. Our research contributed to analyzing the effect of short sale ban abolishment which implemented in 2013 comparing the result of short sale ban from 2008. This paper differentiated the previous study since we analyze the market reaction following deregulation using short-selling ban abolishment. Furthermore, we show the firm based results focusing on financial industry, which is the first empirical study in Korea. The results of this research can be used as an important reference by policy-making and supervisory authority for developing the efficiency of designated market trading system in the financial market.