시장상황별 주식공매도가 변동성에 미치는 질적 특성에 관한 연구 (The Impact of Short Selling on Volatility Depending on the Stock Market)

서지정보

· 발행기관 : 한국기업경영학회
· 수록지 정보 : 기업경영연구 / 21권 / 1호 / 85 ~ 99페이지
· 저자명 : 최용준, 김철중

초록

본 연구는 최근 4년간 공매도를 허용했던 시기를 주식시장의 상황이 달랐던 두 시기로 나누어주식공매도가 변동성에 미치는 영향에 관하여 연구를 하였다. 분석기간은 주식공매도 거래가 허용 되었던2009년 6월 1일-2011년 8월 9일(구간 1:주식시장 변동성이 상대적으로 높은 시기)과 2011년 11월 10일-2013년 11월 22일(구간 2:주식시장 변동성이 상대적으로 낮은 시기)로 나누었다. 각각의 연구기간 동안 KOSPI시장에서 주식 공매도 거래가 가장 활발히 이루어졌던 100종목을 주식공매도 거래비중 순으로 순서대로나열하여 다양한 방법으로 포트폴리오를 구성하고, 포트폴리오 구성종목의 일별 주식공매도 거래비중이 포트폴리오 구성종목으로 이루어진 일별 주가수익률 변동성에 어떠한 영향을 미치는지 상황별 질적 특성에 대해분석하였다. 분석 결과는 다음과 같다. 첫째, 각 구간의 전체기간으로 분석을 했을 경우, 구간 1에서만 주식공매도 거래비중이 높은 종목들로만 구성했을 때, 주식공매도 거래비중이 주가수익률 변동성에 유의한 양(+)의영향을 미쳤다. 둘째, 각 구간을 포트폴리오 일별 주가수익률이 음(-)인 날만 분석을 했을 경우, 구간 1에서는상위 100종목으로 모두 포트폴리오를 구성하여도 주식공매도 거래비중이 주가수익률 변동성에 유의한 양(+)의 영향을 미쳤지만, 구간 2의 경우는 주식공매도 거래가 가장 활발했던 상위 10종목으로 포트폴리오를구성했을 때만 주식공매도 거래비중이 주가수익률 변동성에 유의한 양(+)의 영향을 미쳤다. 셋째, 각 구간을포트폴리오 일별 주가수익률이 양(+)인 날만 분석을 했을 경우, 구간 1은 주식공매도 거래 비중이 주가수익률변동성에 유의한 영향을 미치지 않았다. 그러나 구간 2에서는 주식공매도 거래비중이 높은 종목들로만 포트폴리오를 구성했을 경우, 주식공매도 거래비중이 주가수익률 변동성에 유의한 음(-)의 영향을 미쳤다

영어초록

The purpose of this paper is to make a research on the impact of short selling on volatility duringthe last 4 years when short selling was allowed by dividing the period into two periods when thestock market situation was different.
The analysis period is divided as the period when short selling was permitted in 2009 June 1st~ 2011 August 9th (duration 1: the period when stock market volatility was relatively high) and2011 Nov. 10th and 2013 Nov. 22nd (duration 2: the period when stock market volatility wasrelatively low).
During the research period, the portfolio was made through various methods by listing as pershort selling trading basis of the 100 stock items which were most actively traded in the KOSPImarket, and analysed what effects the daily short selling trade weight of the portfolio compriseditems brought to the daily stock earnings rate volatility comprised of portfolio comprised items.
The analysis results are as follows: Firstly, in the case the analysis is made by the total periodof each duration, when the portfolio was made up with high trading rate short selling in only duration1, the short selling trading weight gave a plus(+) impact to the stock earnings rate volatility.
Secondly, when the analysis was made upon each durations as per the portfolio's daily stockearnings rate in (-) days, in duration 1 even when the portfolio was comprised of upper 100 items,and the short selling trade weight gave an impact to the stock earnings rate volatility to be plus(+),in case of duration 2, the short selling trade weight gave a plus(+) impact to the stock earningsrate volatility when the portfolio was comprised by the upper most active short selling 10 items.
Thirdly, when the analysis on each duration was made by the portfolio as per the daily stockearnings rate in plus (+) days, in duration 1 the short selling trade weight did not bring any impactto the stock earnings rate volatility.
However, in duration 2 when the portfolio was comprised of high trading short selling items,the short selling trade weight gave a minus (-) impact to the stock earnings rate.
Eventually, when the volatility of the stock market is relatively high and when the portfolio ismade up of items that were traded actively in short selling, as the short selling trading weight increases short selling volatility gets higher and its impact is more bigger when the stocks earnings rate isminus (-). In the case the stocks earning rate is plus(+), the short selling trading weight does notgive an impact to the stock earnings rate volatility.
On the other hand, in the period when the stock market volatility is relatively low, as the shortselling trade weight is higher the stock earnings rate volatility did not get higher, and even whenthe stocks earnings rate was minus(-), only when the short selling trade weight is comprised ofthe upper 10 items did the stocks earnings rate volatility get higher as the short selling trade weightgot higher.
Also, when the stocks earnings ratio turned into plus(+) and when the portfolio was made byactive short selling trade items, it turned out that the volatility of stocks earnings rate was lowas the short selling trade weight increased.

참고자료

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