주식 대차거래 주체별 수익성 분석

초록

In the Korean stock market, it is widely recognized that foreign investors' short selling strategies through stock borrowing lead to a decline in stock prices, thereby enhancing the profitability of foreign investors. In addition, since the stock lending of institutions such as pension funds may facilitate the borrowing of foreigners, there is a strong negative view on institutions’ stock lending. This study reports the domestic situation of stock borrowing transactions and analyzes the profitability of transactions by borrowers between July 2011 to June 2016. During the study period, the balance of securities loans increased steadily, but foreign investors accounted for about 75% of the transaction volume and number of transactions. According to our analysis of the stock lending transactions, the number of cases where stock price increased during the period of borrowing transactions was more than that of the other cases. However, according to profitability analysis by trading entity, foreigners' profitability of stock borrowing transactions was poor, and overall investment performance was negative (-). Also, unlike general perception, most of the stock lending transactions of foreign investors are conducted among foreigners. This study finds little evidence for general perception that the short selling strategy of foreign investors will lead to a decrease in the stock price, and that foreigners enjoy hugh short selling profit.

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