공매도 과열종목 지정의 정보효과 연구

This study analyzed the information effects of the Over-Short selling Designation System(OSDS) that are only conducted in Korea Exchange(KRX) through event study method. The data were based on the period from Sep. 25, 2017 to Dec. 31, 2019 (27 months in total), when the OSDS was revised. The samples were 1,381 events(250 events KOSPI and 1,131 events KOSDAQ). The research method used the average adjusted yield method to calculate AAR and CAR that appeared before and after D-0 the OSDS to analyze the information effect. In addition, the difference between KOSPI and KOSDAQ was compared through ASSR and ANBR that appeared before and after D-0. The main results are as follows: First, at D-0 AAR was found to have a negative impact at -11.88% in KOSPI and -5.75% in KOSDAQ respectively. From the analyses, this study found that the effect of the OSDS has contributed to stabilizing the stock market in part because no further plunge has occurred since D-0. Second, on D-0, ASSR surged 0.33% in KOSPI and 0.29% in KOSDAQ respectively, all of which showed significant positive(+) effects at significant levels of 1%. On the release date (D+2), short selling increased again. This means that short-selling forces are continue to make further short-selling even after the ban was lifted. Third, analysis of ANBR by investment entity found that foreign investors and institutional investors usually sell net until D-0 and later, while individual investors continue to buy net.