Short Selling Restrictions, Transaction Costs, and Stock Returns

• 영문명: Short Selling Restrictions, Transaction Costs, and Stock Returns
• 발행기관: 한국무역연구원
• 저자명: Eun-Young Kim
• 간행물 정보: 『무역연구』제9권 제7호, 761~783쪽, 전체 22쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2013.12.30

영문 초록

This study aims to investigate the effect of short selling restrictions imposed by the Korean government back in 2008 and 2011, on stock returns and their distributions, arbitrage possibilities between KOSPI 200 (KOrea Stock Price Index 200) spot and futures markets, transaction costs, and the size of no-arbitrage band with a 3-regime threshold vector error correction model. Sample period (from April 28, 2003 to May 18, 2012) is divided into 5 sub-samples. Among them, sub-samples 2 and 4 are under short selling restriction. Results are as follows. First, increased volatilities of stock returns are witnessed in short selling restriction periods. On the other hand, the extremely negative returns infrequently appear under short selling restrictions. The latter can indicate the effectiveness of short selling restrictions, but further analyses are needed to figure out the net effect of our government policy on market stability in terms of stock return volatility. Second, the highest transaction cost has been found at the undervaluation regime of KOSPI 200 futures prices of sub-sample 2, and the undervaluation regimes of KOSPI 200 futures prices tend to have higher transaction costs than the overvaluation regimes. Third, sub-sample 2 has the greatest size of 'no-arbitrage band', which indicates the severe limitation of arbitrage profits. The great difficulties to perform a 'short stock-long futures arbitrage strategy' due to short selling restrictions can be the main cause. Fourth, arbitrage profits are really low during the period of short selling restrictions but the rare opportunities for making profit can be captured by 'informed traders' who are willing to pay very high transaction costs. The other periods are easily targeted by arbitragers.

목차

Abstract

Ⅰ. Introduction

Ⅱ. Data

Ⅲ. Research Methods

Ⅳ. Exploratory Analyses on Data

Ⅴ. Results of Empirical Analyses

Ⅵ. Conclusions

References

키워드

Short Selling Restrictions Transaction Costs Stock Returns Seo's Threshold Cointegration Test 3-Regime Threshold Vector Error Correction Models