공매도 거래에서 시장참여자의 정보거래와 불공정 거래의 가능성에 대한 연구

This paper analyzes the pattern of short selling in the stock market while focusing on the price predictability of short sellers, this paper analyzes the possibility of a predictability and unfair trades in short selling. This study is able to use the results of its empirical analysis to draw the following four conclusion. First, according to the estimation results of the abnormal short selling which has abnormal trends against the normal pattern, it is drastically increasing before and after the Analyst downgrades, while the normal short selling is decreasing. Secondly, the abnormal short selling is increasing from 10 days right before the Analyst downgrades, and such tendency is more strong in 3 days right before the downgrades. Third, the short sellers are increasing the trade right before the Analyst downgrades on the falling stock from the downgrades, and it implies that the sellers are the predictability traders. Finally, the short sellers do not take a short position over a period days from a direct price predictability, and it implies that there is a high possibility of unfair trades in which the information of downgrades is delivered in advance.