DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Kuan Hui | - |
dc.contributor.author | Wang, Shu Feng | - |
dc.date.issued | 2019-10-01 | - |
dc.identifier.issn | 2041-6156 | - |
dc.identifier.uri | https://aurora.ajou.ac.kr/handle/2018.oak/30985 | - |
dc.identifier.uri | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074193754&origin=inward | - |
dc.description.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. | - |
dc.language.iso | eng | - |
dc.publisher | Wiley-Blackwell | - |
dc.title | Time-Varying Aggregate Short-Selling in Korea | - |
dc.type | Article | - |
dc.citation.endPage | 720 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 690 | - |
dc.citation.title | Asia-Pacific Journal of Financial Studies | - |
dc.citation.volume | 48 | - |
dc.identifier.bibliographicCitation | Asia-Pacific Journal of Financial Studies, Vol.48 No.5, pp.690-720 | - |
dc.identifier.doi | 10.1111/ajfs.12273 | - |
dc.identifier.scopusid | 2-s2.0-85074193754 | - |
dc.identifier.url | http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)2041-6156 | - |
dc.subject.keyword | Foreign investors | - |
dc.subject.keyword | Individual investors | - |
dc.subject.keyword | Korean stock market | - |
dc.subject.keyword | Momentum | - |
dc.subject.keyword | Short-selling | - |
dc.type.other | Article | - |
dc.identifier.pissn | 2041-9945 | - |
dc.description.isoa | false | - |
dc.subject.subarea | Finance | - |
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