Ajou University repository

Time-Varying Aggregate Short-Selling in Korea
Citations

SCOPUS

3

Citation Export

DC Field Value Language
dc.contributor.authorLee, Kuan Hui-
dc.contributor.authorWang, Shu Feng-
dc.date.issued2019-10-01-
dc.identifier.issn2041-6156-
dc.identifier.urihttps://aurora.ajou.ac.kr/handle/2018.oak/30985-
dc.identifier.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85074193754&origin=inward-
dc.description.abstractThis 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.isoeng-
dc.publisherWiley-Blackwell-
dc.titleTime-Varying Aggregate Short-Selling in Korea-
dc.typeArticle-
dc.citation.endPage720-
dc.citation.number5-
dc.citation.startPage690-
dc.citation.titleAsia-Pacific Journal of Financial Studies-
dc.citation.volume48-
dc.identifier.bibliographicCitationAsia-Pacific Journal of Financial Studies, Vol.48 No.5, pp.690-720-
dc.identifier.doi10.1111/ajfs.12273-
dc.identifier.scopusid2-s2.0-85074193754-
dc.identifier.urlhttp://onlinelibrary.wiley.com/journal/10.1111/(ISSN)2041-6156-
dc.subject.keywordForeign investors-
dc.subject.keywordIndividual investors-
dc.subject.keywordKorean stock market-
dc.subject.keywordMomentum-
dc.subject.keywordShort-selling-
dc.type.otherArticle-
dc.identifier.pissn2041-9945-
dc.description.isoafalse-
dc.subject.subareaFinance-
Show simple item record

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Wang,Shu-Feng Image
Wang,Shu-Feng왕수봉
Department of Business Administration
Read More

Total Views & Downloads

File Download

  • There are no files associated with this item.