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공매도 제한효과와 공매도 금지효과 의 비교 : 유동성과 정보성에 미치는 영향을 중심으로

  • 최혁 서울대학교 경영대학 교수
  • 이효정 서울대학교 경영대학 박사과정
본 연구는 2008년 글로벌 금융위기 시에 단행됐던 공매도 규제 시기에 유동성 및 매매 주문의 정보성이 어떻게 변화하였는지를 살펴보았다. 특히 주식워런트증권(ELW) 및 개별주식선물이 존재해 공매도 포지션을 합성할 수 있었던 종목군을 ‘공매도 제한 표본’으로, 그렇지 않은 종목군을 ‘공매도 금지 표본’으로 분류해, 공매도 제한과 공매도 금지가 시장의 유동성과 정보성에 어떠한 영향을 미치는지를 비교 분석하였다. 2008년 1월부터 2009년 5월까지 KOSPI200 구성종목에서 발생한 공매거래를 대상으로 실증분석을 수행한 결과, 공매도 규제 시기에 시장 전체의 유동성이 저하되고 일중변동성이 증가했으며, 공매가 갖는 부정적인 정보성이 강해진 것으로 나타났다. 특히 공매 금지 표본에 비해 공매 제한 표본에서 일별유동성이 더 나빠지고, 일중 변동성이 더 커졌으며, 공매의 부정적인 정보성이 더욱 증폭된 것으로 분석되었다. 이 같은 결과는 공매도 제한이 정보거래자와 비정보거래자의 구성을 변화시키기 때문에 공매도 금지보다 시장유동성을 더 많이 훼손하고, 부정적인 정보성을 더 증가시킨다고 한 Diamond and Verrecchia 모델의 예측과 일치한다.
공매도 규제,유동성,정보성,정보거래자

Short Sales Restriction versus Short Sales Prohibition : Different Effects on Market Efficiency

  • Hyuk Choe
  • Hyo-Jeong Lee
We investigate how the short sales regulations temporarily enforced during the financial crisis of 2008 affected market liquidity and informativeness of short sales. In specific, we compare the effects of regulations on stocks with ELW/Futures to those on stocks without them to study the empirical implications of Diamond and Verrecchia (1987), which distinguish between short-restriction and short-prohibition. During the financial crisis of 2008, among others short sellers took a lot of blame for having caused the market confusion. Accordingly, in an attempt to appease the market uncertainty for the time being financial supervisory authorities in many countries adopted a reinforced regulatory step by temporarily prohibiting most short sales. Korea was no exception. On the 30th September, 2008, Financial Services Commission announced that the short sales of all listed stocks would be prohibited temporarily except for market making activities for ELW, ETF, individual stock Future/Option, and this provision went into effect on the 1st October, 2008. Because of these exceptions made in the prohibition of short sales, the regulatory change brought about different effects across stocks. Investors prohibited from short sales could replicate short position by trading a combination of derivatives, which were written on each stock. For instance, a speculative investor could buy put ELWs on stocks instead of shorting them directly. An ELW market-maker might sell this put ELWs and then hedge its risk by shorting the suitable amount of the underlying stocks. In other words, the stocks with derivatives were influenced by short-restriction, in which short-selling was sub-stantially possible, but the cost of short-selling increased. However, the stocks without derivatives were affected by short-prohibition, not short- restriction. Because it requires highly sophisticated expertise to implement synthetic positions with derivative trading strategy, the replications of short position are available to only informed investors. As a result, short-restriction selectively drives out uninformed traders much more than informed traders, potentially increasing the proportion of informed short sellers. However, short-prohibition eliminates short sales by informed and uninformed investors equally. This is the key difference in the effects of short-restriction from those of prohibition. On the theoretical basis, Diamond and Verrechia (1987) suggested that any changes in the short selling environment could influence the mix of informed and uninformed traders. Diamond and Verrecchia argued that as short-restriction and short-prohibition influence the composition of investors differently, the effects of short-restriction on market are different from those of prohibition. They predicted that short-restriction has stronger impacts on market liquidity and informativeness of short sales than short-prohibition does. To verify the claim, we analyzed the effects of short restriction and prohibition in the Korean market. We divide KOSPI200 index stocks into 58 stocks with ELW/Furtures, and 116 stocks without those, and compare the effects of short-restriction on market liquidity and informativeness of short sales to the effects of short-prohibition on those. We use trading data from 1st January, 2008 to 31th may, 2009 for our comparative analysis. To control for systematic differences between the two groups and to accurately identify the actual influences of regulations, we use a propensity score matching technique. Using market capitalization, trading won volume, turnover, and volatility, known as determinant factors for option listing, we obtain a propensity score for each stock with ELW/Futures and match it to two closest match stocks without ELW/Futures. The empirical results are as follows. Firstly, Amihud measure, R2 measure, and intraday quoted return volatility increased for all sample stocks during short sales regulations, and these changes were especially strong for stocks with ELW/Futures. The higher Amihud measure, R2 measure, and intraday returns volatility mean the lower market liquidity, market quality and market depth. So these results could be interpreted that the general market liquidity decreased during regulations, and market quality and market depth of stocks with ELW/Futures were more damaged. Secondly, the overall informativeness of short sales increased during short sales regulations, and the change was relatively larger for stocks with ELW/Futures than for those without. To examine the informativeness of short sales, we regressed each stock’ return on both contemporaneous and previous short selling volume. We found that coefficients of short selling volume grew stronger during the regulations and that the changes were more statistically and economically significant in those stocks with ELW/Futures. These results support Diamond and Verrecchia (1987)’s model that short-restriction has stronger impacts on market liquidity and informativeness of short sales than short-prohibition does, as short-restriction changes the composition of the remaining short-sellers. Our results are also consistent with those of Kolasinksi, Reed and Thornock (2010), which distinguishes outright prohibition and constraints by comparing stocks with listed options to stocks without in the US market. Thirdly, buyer order imbalances significantly increased, and relative bid-ask spread decreased during the short sales regulations. Limitation on non-holders’ selling activities during the regulations intensified buyer order imbalances, and forced up the trading prices over mid-quote prices, decreasing the relative bid-ask spread. Our research is the first one to empirically investigate the influences of short-sale regulations on market efficiency in the Korean stock market. Although short-sales regulations have been frequently used as emergency measures to stabilize stock markets to the outside shock, there has been no in-depth research conducted about the impacts of short sales regulations. We anticipate our research to contribute to designing short-sales institutions both academically and practically.
ELW,Short-Restriction,Liquidity,Informativeness,Informed-Trader,ELW