卖空限制和股票借贷交易信息内容

Yeong-suk Cho, Youngsik Kwak
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引用次数: 1

摘要

此次研究的主要对象是在韩国综合股价指数(KOSPI)波动时期,股票借贷(SLB)交易和卖空持续增长的独特事件。作者分析了SLB和卖空综合股价指数金融股的信息内容。2013年11月14日,金融股从卖空禁令中解脱出来。2008年全球金融危机后,金融股被禁止卖空5年多。运用事件研究的方法,分析了卖空禁令前后股市收益的差异。本研究结果表明,高水平SLB和高水平卖空的集中组在发生卖空后,其异常回报(AR)的负向效应高于对照组。结果还发现,SLB和卖空交易为市场提供了重要的信息内容。SLB和卖空的信息效应随时间的推移是一致的,但当交易越集中时,信息效应越强。最后,研究结果表明,卖空行为对股票市场的影响最为显著。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Information Contents of Short Selling Restriction and Stock Lending and Borrowing Transactions
This study focuses on the distinctive incident in which Stock Lending and Borrowing (SLB) transaction and short selling grew continuously even during the wavering period of the Korea Composite Stock Price Index (KOSPI) in the Korea Exchange (KRX) market. The authors analyze the information contents of SLB and short selling on KOSPI financial stocks. The financial stocks were freed from short selling ban on November 14, 2013, after being banned for more than five years following the global financial crisis in 2008. Employing the event study methodology, the authors also analyze the differences between stock market returns before and after the short selling ban. The results of this study show that the concentrated group including high levels of SLB and short selling were characterized by the higher Abnormal Return (AR) with negative effect than the comparative group after the occurrence of short sales. The results also discover that SLB and short selling transactions provide the market with significant information contents. The information effect of SLB and short selling is consistent over time, but is stronger when the transactions are more concentrated. Finally, the results reveal that the short selling has the most considerable influence on the stock market.
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