 Short-selling with a short wait: Trade- and account-level analyses in Korean stock marketKuan-Hui Lee and Shu-Feng Wang Pacific-Basin Finance Journal, 2016, vol. 38, issue C, 209-222 Abstract: We examine the day trading short-selling trades, which are initiated and closed on the same day. Using the proprietary dataset, which covers the comprehensive trading records at the trade- as well as account-level in Korean stock market, we show that the day trading short-selling is pervasive, accounting for 42% of total shorted shares, and that the individual day traders in general make positive profits from short-selling even when transaction costs are considered. We further investigate the timing of short-selling and the covering transactions and find that traders who short stocks in the morning and hold the position longer, and those who short stocks with high intraday volatility earn higher profit. In addition, we find that day traders make profits by executing numerous trades to exploit short-term small price fluctuations. Lastly, we compare the profitability of day trading short-selling with that of day trading long-selling and show that the former shows the superior performance to the latter. Keywords: Short selling; Short cover; Day trading; Individual investor; Emerging market; Korean stock market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:38:y:2016:i:c:p:209-222 DOI: 10.1016/j.pacfin.2016.05.001 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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