Short-Selling with a Short Wait : Trade- and Account-Level Analyses in Korean Stock Market

다국어 초록 (Multilingual Abstract)

We examine in this paper the short-selling trades that 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. Our results show that 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 shortselling 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. Lastly, we find that day traders make profits by executing numerous trades to exploit short-term small price fluctuations.

목차 (Table of Contents)

• Abstract
• I. Introduction
• II. Data and Methodology
• 2.1 Data
• 2.2 Methodology
• III. Summary statistics for day trading short selling
• IV. The relationship between trading time and the profitability
• V. The relationship between characteristic of short selling trade and profitability
• VI. Determinants of the profit of day traders on short selling
• VII. Conclusion
• Reference