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Time-Varying Aggregate Short-Selling in Korea
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Publication Year
2019-10-01
Journal
Asia-Pacific Journal of Financial Studies
Publisher
Wiley-Blackwell
Citation
Asia-Pacific Journal of Financial Studies, Vol.48 No.5, pp.690-720
Keyword
Foreign investorsIndividual investorsKorean stock marketMomentumShort-selling
All Science Classification Codes (ASJC)
Finance
Abstract
This study examines the variation in aggregate short-selling by foreigners, individuals, and institutional investors in relation to market return and other market-wide variables in the Korean stock market. First, we find that aggregate short-selling has strong seasonal components. In contrast to the existing literature, which shows contrarian-style short-selling at the stock level, we find momentum-style short-selling by foreigners and individual investors at the aggregate level. That is, they significantly increase their short-selling following a short-term down market. In addition, we show that past US market return is negatively related to aggregate short-selling by foreign investors. Vector-autoregression and impulse-response analyses reveal that aggregate short-selling is significantly affected by changes in market return, but not vice versa.
ISSN
2041-6156
Language
eng
URI
https://aurora.ajou.ac.kr/handle/2018.oak/30985
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074193754&origin=inward
DOI
https://doi.org/10.1111/ajfs.12273
Journal URL
http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)2041-6156
Type
Article
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Wang,Shu-Feng Image
Wang,Shu-Feng왕수봉
Department of Business Administration
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