Earticle

초록

영어

This paper examines how individual investors’ short sale transactions affect the stock market, using a unique regulatory change in Korea that allowed individual investors to sell short some―but not all―domestic stocks. We find no evidence that these transactions destabilize the market. Specifically, our differences-in-differences estimates indicate that stocks show little change in their return volatility or skewness after they become shortable. Rather, following the regulatory change, those stocks are traded within a narrower bid-ask spread and deviate less from the random-walk process, suggesting that they are priced more efficiently. Overall, our results cast doubt on the popular stereotyping of individual investors as noise traders. The results instead indicate that individual investors are capable of bringing in private information to the market.

목차

Abstract
 1. Introduction
 2. Short sale restrictions in Korean market
 3. Sample and data
 4. Empirical Analysis
  4.1. Variables.
  4.2. Summary Statistics
  4.3. Mutivariate Analysis
 5. Conclusions
 References
 Table

키워드

저자

• Chan-Shik Jung [ Ph. D. Candidate in Finance, Korea University Business School ]
• Woojin Kim [ Assistant Professor of Finance, Korea University Business School ]
• Dong Wook Lee [ Associate Professor of Finance, Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330