초록

In this paper, we analyze the impacts of stock lending and borrowing transactions on the capital market associated with regime change in the Korea Exchange (KRX). Based on the systematic characteristics of regulations governing short selling, we investigate the informational content of stock lending and borrowing transactions, as well as short selling transactions, by identifying low-rank sections. Major findings are as follows. Firstly, we confirmed that over 90% of all stock lending & borrowing transactions are performed by foreign traders, and that the traders utilized such transactions in various investment strategies such as short selling and program trading. Secondly, we observed, in stock lending & borrowing transactions, that redemption transactions are more heavily utilized rather than newly borrowed transactions during specific periods, and about 30% of newly borrowed transactions are applied to short-selling transactions. Thirdly, we formed portfolios with 60 most frequently traded stocks in lending & borrowing and estimated the differential earnings on those portfolios actually acquired by short selling with borrowed stocks until redemption. We found that the strategy of redeeming after 3 to 6 months from the point of short selling yielded the highest returns compared to other strategies. As a result, we conclude that the informational content associated with stock lending and borrowing transactions, as well as that associated with short selling, is sufficient. We also validate the hypothesis that investors armed with superior information and analytical skills can achieve superior rates of return through stock lending and borrowing transactions as well as through short selling.

키워드

Stock Lending and Borrowing Transactions, Short Selling, Foreign Investors, Profits, Informational Content, KRX(Korea Exchange)

참고문헌(30)open

  1. [학술지] Aitken, J. M. / 1998 / Short Sales are Almost Instantaneously Bad News : Evidence from the Australian Stock Exchange / Journal of Finance 53 : 2205 ~ 2223

  2. [학술지] Allen, F. / 1991 / Arbitrage, Short Sales, and Financial Innovation / Econometrica 59 : 1041 ~ 1068

  3. [학술지] Arnold, T. / 2005 / The Information Ccontent of Short Interest : a Natural Examination / Journal of Business 16 : 1307 ~ 1335

  4. [학술지] Boehmer, E. / 2008 / Which Shorts are Informed? / Journal of Finance 63 : 491 ~ 528

  5. [학술지] Brent, A. / 1990 / Short Interest : Explanations and Tests / Journal of Financial and Quantitative Analysis 25 : 273 ~ 289

  6. [학술지] Chang, E. C. / 2007 / Short Sales Constraints and Price Discovery : Evidence from the Hong Kong Market / Journal of Finance 62 : 2097 ~ 2121

  7. [학술지] 조영석 / 2012 / 증권대차거래를 활용한 펀드수익률 제고방안 / 金融工學硏究 11 (4) : 21 ~ 45

  8. [학술지] Choe, H. / 2005 / Do Domestic Investors have an Edge? The Trading Experience of Foreign Investors in Korea / Review of Financial Studies 18 : 795 ~ 829

  9. [학술지] Cohen, L. / 2007 / Supply and Demand Shifts in the Shorting Market / Journal of Finance 62 : 2061 ~ 2096

  10. [학술지] Diamond, D. W. / 1987 / Constraints on Short-Selling and Asset Price Adjustment to Private Information / Journal of Financial Economics 18 : 277 ~ 311

  11. [학술지] Diether, K. B. / 2009 / Short Sale Strategies and Return Predictability / Review of Financial Studies 22 : 575 ~ 607

  12. [학술지] Diether, K. B. / 2009 / It's SHO Time! Short-Sale Price Tests and Market Quality / Journal of Finance 64 : 37 ~ 73

  13. [학술지] Dvorak, T. / 2005 / Do Domestic Investors have an Information Advantage? Evidence from Indonesia / Journal of Finance 60 : 817 ~ 839

  14. [학술지] Duffie, D. / 2002 / Securities Lending, Shorting, and Pricing / Journal of Financial Economics 66 : 307 ~ 339

  15. [학술지] Hasbrouck, J. / 1993 / The Trades of Market Makers : an Empirical Analysis of NYSE Specialists / Journal of Finance 48 : 1565 ~ 1593

  16. [학술지] Hau, H. / 2001 / Location Matters : an Examination of Trading Profits / Journal of Finance 56 : 1951 ~ 1983

  17. [학술지] Henry, O. T. / 2006 / The Impact of Short Selling on the Price-Volume Relationship : Evidence from Hong Kong / Journal of Business 79 (2) : 671 ~ 692

  18. [학술지] Hong, H. / 2003 / Differences of Opinion, Short-Sales Constraints, and Market Crashes / Review of Financial Studies 16 : 487 ~ 525

  19. [학술지] Hurtado, M. / 1978 / Short Interest : It's Influence as a Stabilizer of Stock Return / Journal of Financial and Quantitative Analysis 13 : 965 ~ 985

  20. [학술지] 황선웅 / 2011 / 주식대차거래와 주식시장 변동성에 관한 연구 / 재무관리연구 28 (1) : 11 ~ 38

  21. [학술지] 황선웅 / 2012 / 주식대차거래와 자본시장 유동성 / 金融工學硏究 11 (1) : 83 ~ 104

  22. [학술지] Jones, C. M. / 2002 / Short-Sale Constraints and Stock Returns / Journal of Financial Economics 66 : 207 ~ 239

  23. [학술지] Kang, J. K. / 1997 / Why is There Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan / Journal of Financial Economics 46 : 3 ~ 28

  24. [학술지] Kaplan, S. N. / 2013 / The Effects of Stock Lending on Security Prices : an Experiment / Journal of Finance 68 (5) : 1891 ~ 1936

  25. [학술지] Kim, J. O. / 2000 / An Empirical Investigation of Short Sales : Evidence from the Korea Stock Market / Korean Journal of Financial Studies 26 : 343 ~ 397

  26. [기타] / Statistics for Securities Lending & Borrowing, Annual Data / Korea Securities Depository

  27. [학술지] Miller, E. / 1977 / Risk, Uncertainty, and Divergence of Opinion / Journal of Finance 32 : 1151 ~ 1168

  28. [학술지] Nagel, S. / 2005 / Short Sales, Institutional Investors, and the Cross-Section of Stock Returns / Journal of Financial Economics 78 : 277 ~ 309

  29. [학술지] 송치승 / 2006 / 주식대차에 의한 공매 동기와 수익률 / Asia-Pacific Journal of Financial Studies 35 (6) : 1 ~ 37

  30. [학술지] Taylor, S. J. / 2010 / The Information Content of Implied Volatilities and Model-Free Volatility Expectations : Evidence from Options Written on Individual Stocks / Journal of Banking and Finance 34 (3) : 337 ~ 361