국내증시 공매도의 가격효과에 대한 고찰

This study aims to examine the price discovery function and the market instability intensification of short selling. First of all, the price discovery function of short selling is a theory that negative information is quickly reflected in stock prices as short sellers make short selling investments by using private level negative information within the company. The entire stock market information efficiency is enhanced by active information distribution process. Information efficiency level was measured through PEAD (Price Earnings Announcement Drift). Given that short selling has a limited role in reducing price earnings announcement drift (PEAD) immediately after the disclosure of bad news earnings surprises by listed companies, it was difficult to say that domestic short selling contributed to quickly reflecting negative information in stock price returns. Next, I looked at whether short selling causes additional stock price declines in situations where abnormal stock price declines occur and acts as a negative factor that intensifies market instability. For business days designated as an abnormal stock price plunge (Extreme Day), the level of stock price rebound on the next day of the plunge and the role of short selling in the process were examined to verify whether market instability of short selling intensified. As a result of empirical verification, it was difficult to say that short selling had a significant effect on the process of further declines in stock prices or rebounding stock prices on the following day of the plunge. In the end, it is judged that the impact of short selling on stock prices on the domestic stock market is limited. This study is judged to have implications in relation to the recent decision on short selling policy of the domestic stock market. On March 16, 2020, the Financial Services Commission imposed a ban on short selling as an emergency market stabilization measure following a sharp drop in investor sentiment due to the spread of COVID-19. Since then, there has been no complete resumption of short selling (the ban on short selling excluding financial stocks has been lifted since May 3, 2021), so high-intensity short selling regulations have been imposed that are unprecedented in the world. At the root of this ban on short selling, there were concerns that short selling could act as a factor of market instability, such as triggering an additional plunge in stock prices at a time when the real economy and investor sentiment are rapidly cooling. However, as this study revealed, it is not clear that short selling plays a direct role in deepening market instability, such as contributing to an additional plunge in stock prices in the event of an abnormal plunge in short selling. Therefore, the recent ban on high-intensity short selling by financial authorities may be excessive regulation. On January 28, 2021, the IMF expressed its opinion that it is possible to resume short selling in the Korean stock market through the 2021 IMF-Korea Annual Consultation. In addition, the recent claim that short selling is necessary to resume to incorporate the MSCI advanced index raises concerns over whether the domestic stock market may run counter to global standards.