주식시장에서 애널리스트의 커버리지와 거래자의 사전반응을 통한 불공정 거래의 개연성 연구

This paper analyzes the possibility of unfair trading practices, with a specific focus on short selling activities by individual, institutional, and foreign traders across the 801 types of KOSPI stocks. The following four conclusions were drawn from the results of the empirical analysis. short selling volumes between stocks influenced by analyst coverage, particularly downgrades of investment or stock prices, and those unaffected by such coverage. Second, institutional and foreign traders exhibit abnormal trading that deviate from the normal pattern. Their short selling activities increase drastically three days prior and peak right before the downgrades by analysts. Subsequently, there is a drastic decrease after the downgrades. However, such a trend is not observed in case of individual traders. Third, institutional and foreign traders display a strong ability to predict stock price movements, in contrast to individual traders who exhibit low predictive capabilities. institutional and foreign traders intensify their trading activities right before the analyst downgrades, particularly when the affected stocks are already on a downgrade trajectory. Lastly, institutional and foreign traders exhibit a high possibility of engaging in unfair trade practices, where the information on downgrades is delivered in advance. These two types of traders refrain from establishing short positions over an extended period based solely on price predictability. Instead, they increase short selling right before the downgrades, primarily targeting stocks with the most significant price drops. Additionally, in order to induce price declines, institutional and foreign traders execute a significant increase in distinctly low priced limit sale orders within the last 10 minutes of the closing market.