공매도와 주가수익률 변동성과의 관계

Abstract

본 연구에서는 2007년 1월부터 2012년 11월까지의 한국거래소(KRX)의 개별 주가수익률, 주식별 투자자별 거래대금, 주식별 투자자별 공매도 대금 등의 일별자료들을활용해서, 공매도거래활동과 변동성 간의 관계를 분석하였다. 투자자별로 살펴보면, 개인투자자의 공매금액의 경우, 일중변동성과 변동성지수에 부(-)의 영향을 미치는반면에, 기관투자자의 공매도 금액은 역사적변동성, 일중변동성, 변동성지수 등을 모두증가시키는 것으로 나타났다. 그리고 외국인투자자의 공매도거래금액은 변동성에 유의한영향을 미치지 못하는 것으로 나타났다. 그리고 공매도 금지기간 더미변수의 경우, 공매도 금지기간 1(2008년 10월 1일부터 8개월 간)의 경우 전반적으로 정(+)의 값을나타낸 반면, 공매도 금지기간 2(2011년 8월 10일부터 3개월)의 경우 전반적으로 부(-)의값을 나타내고 있다. 따라서 공매도 금지정책이 변동성에 미치는 영향은 확정적이지는않다. 공매도 제약정책은 일중변동성, 변동성지수, 조건부 변동성 등을 감소시키는 것으로나타났으며, 공매도의 전면적 금지는 글로벌 금융위기 시에는 효과가 제한적이었지만, 두 번째 전면적 금지정책은 변동성을 감소시킴으로써 효과적이었다고 할 수 있다.

Short selling is the practice of selling securities or other financial instruments that are not currently owned, and then subsequently repurchasing them in the near future to return borrowed securities to their owner. Short selling can play a positive role in the market. It increases market liquidity, contributing to efficient price discovery, and helps to expand the selection of investment strategies and risk management. However, short selling can also play a negative role, with naked short selling sometimes used to manipulate the market. During the global financial crisis triggered by the subprime mortgage crisis in 2007, the financial authorities in many developed countries implemented short-selling restrictions to stabilize financial markets, protect investors, and aid efficient price discovery. Most studies on short selling concern their relation with stock prices (returns), with less attention paid to the relation between short selling and volatility. In this study, we investigate the relationship between short-selling activities and stock return volatility in the Korean stock market using daily data on individual stock returns, stock trading volume by investors, and short-selling activities by investors. The sample period ranges from January 2007 to November 2012. Three types of traders are considered: individual investors, institutional investors, and foreign investors. We use several volatility measures: historical volatility, range-based volatility (Garman-Klass volatility or intraday volatility), implied volatility (VKOSPI or the volatility index), and conditional volatility, which is estimated from the GJR-GARCH model. Three kinds of short-selling activity measures are adopted as the major explanatory variable: logarithm of the money value of short-selling volume, the short-selling/stock trading volume ratio, and the share of short-selling volume by trader type. Miller (1977) and Diamond and Verrecchia (1987) suggest that policies that impose short-selling constraints increase volatility in the stock market. Such a policy was enacted during the sample period, allowing us to test the prediction that short-selling transactions as a whole increase volatility in the Korean stock market. However, the daily short-selling trading volume was found to exert a negative effect on the volatility of KOSPI index returns. In the case of short-selling restrictions, it turns out that such restrictions serve to reduce intraday volatility, conditional volatility, and the volatility index (VKOSPI), although the effect of a short-selling ban on volatility remains inconclusive. There are two short-selling ban periods in our sample period: the eight months from October 1, 2008 to May 31, 2009 (BN1) and the three months from August 10 to November 9, 2011 (BN2). The sample data show BN1 and BN2 to have a higher and lower volatility level, respectively. After empirical analysis, the short-selling ban was found to increase intraday volatility and the VKOSPI in BN1 and to decrease them BN2, which implies that such a policy measure does not have deterministic effects on volatility. When we classify short-selling trading volume by trader type, the short-selling volume of individual investors is observed to stabilize daily range-based volatility and the VKOSPI, whereas that of institutional investors destabilizes such volatility measures as historical volatility, range-based volatility, and the VKOSPI. Foreign investors’ short-selling volume increases none of the volatility measures. The finding that the short-selling trading activities of individual investors stabilize the stock market and those of institutional investors increase stock market volatility, whereas, in the stock market more generally, individual investors increase stock market volatility and institutional investors stabilize the market, is an interesting one. It implies that individual investors have an information advantage in short-selling trading, considering that their share of such trading volume hovers around 3%. This finding is consistent with that of Jung, Kim, and Lee (2013), who report that the short-selling trading activities of individual investors do not increase stock market volatility in Korea. Foreign investors stabilize the stock market through both short-selling transactions and stock trading activity. With regard to policy effects, we find that short-selling restrictions reduce intraday volatility, the VKOSPI, and conditional volatility. The short-selling ban initially prompted by the global financial crisis appears to have had limited effects, although the second prohibition clearly reduced volatility. Therefore, it can be concluded that short-selling regulations can stabilize the market if implemented in appropriate and timely fashion. A remaining puzzle is why individual investors’ short-selling activities reduce volatility, whereas those of their institutional counterparts increase it. The issue requires further analysis, and is left to future research.