Title : Short Selling by Individual Investors: Vice or Virtue?
This paper examines how individual investors’ short sale transactions affect the stock market, using a unique regulatory change in Korea that allowed individual investors to sell short some―but not all―domestic stocks. We find no evidence that those transactions destabilize the
market. Specifically, our differences-in-differences estimates indicate that stocks show little change in their return volatility or skewness after they become shortable. Rather, the regulatory change causes those stocks to be traded within a narrower bid-ask spread and to deviate less
from the random-walk process, suggesting that they are priced more efficiently. Overall, our results suggest that the popular characterization of individual investors as noise traders is not always correct. In particular, the results indicate that at least some individual investors are privy
to private information.
Keywords: Short sale; Individual investors; Korean stock market; Destabilizing
JEL classification: G10, G14, G20
학회소식
학회소식
[2010년 제 4차] Short Selling by Individual Investors
작성자 : 관리자
조회수 : 761
게시일 :
2010-12-09