개별 종목 수준에서 외국인 공매도의 주가에 대한 인과적 영향력 및 선행성에 관한 연구

A short sale is defined as the borrowing and selling of securities by an investor who does not own the securities to make a profit from price decline. The short sale was in the spotlight as the regulators worldwide placed a ban of short-selling when global financial crisis deepened in the latter half of 2008. Recently (August 2011), the Korean regulatory authority prohibited short sales on the exchange-listed stocks again for fear of exacerbating the US debt crisis. Given that most short sales in the Korean stock market come from foreign investors, we analyze the causal effect or the precedence of foreign investors’ short sales on stock returns and volatility. To estimate a causal effect of foreign investors’ short sales on the stock price decline, we use individual-stock level IV regressions with short interests as an instrumental variable. To analyze the informativeness of foreign investors’ short sales, we use panel VAR and Granger causality tests. We find that there is little evidence that foreign investors’ short sales cause or precede price decline of individual stocks. However, we also find that it is important to control foreign investors’ net selling when analyzing the relationship between foreign investors’ short sales and the stock price movement in the Korean stock market.