Foreigners’ Short Selling in the Korean Stock Market around the Financial Crisis

Sang Buhm Hahn (), Sehoon Kwon () and Yeongseop Rhee ()
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Sang Buhm Hahn: Kyonggi University
Sehoon Kwon: Sangmyung University
Yeongseop Rhee: Seoul National University

East Asian Economic Review, 2023, vol. 27, issue 2, 145-176

Abstract: This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling possibility, we did not find any conclusive evidence of abusive short selling behaviors in the overall intraday trading activities. While foreign investors demonstrate higher levels of participation in short-sale trading, their impact on price declines is not as pronounced compared to the effects of pure selling. Following the lift of the short-sale ban, foreign investors appear to engage in long selling trading more frequently, and their influence on price changes primarily stems from long selling rather than short selling compared to the past.

Keywords: Short Selling; Financial Crisis; Foreign Investors; Price Reversals; Short-sale Ban (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0421

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