East Asian Economic Review

  • 제27권2호
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  • Pages.145-176
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  • 2023
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  • 2508-1640(pISSN)
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  • 2508-1667(eISSN)
대외경제정책연구원 (Korea Institute for International Economic Policy)
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Foreigners' Short Selling in the Korean Stock Market around the Financial Crisis

  • 투고 : 2023.03.17
  • 심사 : 2023.06.29
  • 발행 : 2023.06.30
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초록

This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling possibility, we did not find any conclusive evidence of abusive short selling behaviors in the overall intraday trading activities. While foreign investors demonstrate higher levels of participation in short-sale trading, their impact on price declines is not as pronounced compared to the effects of pure selling. Following the lift of the short-sale ban, foreign investors appear to engage in long selling trading more frequently, and their influence on price changes primarily stems from long selling rather than short selling compared to the past.

키워드

과제정보

This research was financially supported by the Institute for Research in Finance and Economics of the Seoul National University in 2015 (SNU-SIRFE Grant 0666A-20150005). The authors are grateful to the participants at the seminars of SIRFE of SNU, the annual conference of WEAI, and the annual conference of JSIE for their productive comments and suggestions. This work was supported by Kyonggi University Research Grant 2021.

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