공매도 과열종목 지정제도의 정보효과

[Purpose]This paper studies and tests the policy on a system which designates over－short sale stocks. [Methodology]This study compares the rate of return on the date of designation of Over－Short Sale Designation System and the rate of return on the date of release. Despite the designation, whether the rate of return of stock price continues to fall or the rate of return is reversed is analyzed by dividing companies by the specified type and financial characteristics. [Findings]Although the analysis results for all designated companies are insignificant, the stock price plunged more than －10% as the short－selling volume increased significantly, resulting in a return inversion in the designated type 2 companies. It is interpreted that the purpose of the system is to provide the information effect to the market that the stock price of the company has temporarily declined due to excessive short selling. However, when a large amount of short selling occurs to companies with high financial risks regardless of the share price drop rate, discriminative research results have been shown in the designated type 3 companies, where significant price drops continue to occur even after even after the ban on short selling is lifted. [Implications]This study showed that the rate of return reversal or continuous decline is discriminatory given that the Over－Short Sale Designation System by designated type and financial risk of a company.