Earticle

초록

영어

We examine in this paper the short-selling trades that are initiated and closed on the same day using the proprietary dataset, which covers the comprehensive trading records at the trade- as well as account- level in Korean stock market. Our results show that day trading short-selling is pervasive, accounting for 42% of total shorted shares, and that the individual day traders in general make positive profits from shortselling even when transaction costs are considered. We further investigate the timing of short-selling and the covering transactions and find that traders who short stocks in the morning and hold the position longer, and those who short stocks with high intraday volatility earn higher profit. Lastly, we find that day traders make profits by executing numerous trades to exploit short-term small price fluctuations.

목차

Abstract
 I. Introduction
 II. Data and Methodology
  2.1 Data
  2.2 Methodology
 III. Summary statistics for day trading short selling
 IV. The relationship between trading time and the profitability
 V. The relationship between characteristic of short selling trade and profitability
 VI. Determinants of the profit of day traders on short selling
 VII. Conclusion
 Reference

키워드

저자

• Kuan-Hui, Lee [ Seoul National University Business School ] First author
• Shu-Feng, Wang [ Business School, Sungkyunkwan University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330