공매도 과열종목 지정제도의 실효성 분석

Korea Exchange (KRX) has adopted several measures to ease temporary overheating of short-selling stocks in the market since March 27, 2017. These measures aim to curb excessive volatility and unfair trade, promoting efficient price discovery. This study examines the effect of overheated short-selling halts using the sample data from these KRX measures during the period of September 2017 to October 2019. The major empirical results are: first, the drop in prices of overheated short-selling stocks on a downward trend slows significantly after KRX announcement. Moreover, the stock price rise on the triggering day shows no additional increase in the period after the trigger. Second, for the stocks so triggered, the volatility in the period after the halt announcement shows no significant difference from the pre-halt period. This can be attributed to the resolution of the information asymmetry by calling investors’ attention to overheated short-selling. Third, the ratio of short-selling to trading after halt suggests no statistically significant difference from the period before the trigger. These results imply that the measures to ease overheated short sale of stocks in KRX are effective in controlling excessive temporary volatility and unfair trading,