The Impact of Investor Type on Short Selling Performance: An Analysis of Individual Investors
| Autor: | Mincheol Woo, Meong Ae Kim |
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| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Korean Journal of Financial Studies. 52:109-137 |
| ISSN: | 2713-5543 2005-8187 |
| DOI: | 10.26845/kjfs.2023.2.52.1.109 |
| Popis: | Focusing on individual investors’ transactions, we investigated the features and performance of short selling exclusively executed by each investor type. The empirical results are as follows. First, individual investors are more active in exclusive trading than are other investor types, which is distinctive in the KOSDAQ (Korea Securities and Dealers Automated Quotations) market. Second, exclusive trading by individual investors showed losses in most periods after the trading date, regardless of the short selling weight. Exclusive trading by other types of investors showed profits in the groups of stock dates, even with lower short selling weights. Exclusive trading by individual investors showed profits only in the group with the highest past return, whereas exclusive trading by other types showed profits in the groups, even with negative past returns. Third, exclusive trading by individual investors showed a negative association with trading performance when the relationship was estimated from regressions. Trading executed by all investor types, or by both foreign and institutional investors, showed a positive association with performance. These results suggest that exclusive trading by individual investors is not based on information. Individual investors can be better off by selecting stock dates that both foreign and institutional investors short sell. |
| Databáze: | OpenAIRE |
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