공매도와 신용거래 비중을 활용한 차익거래 전략

초록

Short selling and margin trading have conflicting opinions about the future direction of stock prices. They, however, share in common the property of active leverage investments, in the sense that short selling borrows stocks and margin trading borrows cash. We report the risk-adjusted rate of return based on factor models for short selling and margin trading. We, then, compare the profitability of long-short arbitrage strategies that use the proportion of short sales and the proportion of margin trading. Our empirical analyses show that the short selling arbitrage strategy is more effective for portfolios with a high proportion of margin trading rather than portfolios with a lower proportion of margin trading. In a portfolio with the highest proportion of margin trading, short-selling long-short arbitrage portfolio generates annual returns of around 20%. On the other hand, the margin trading long-short portfolio realizes superior returns in a portfolio with a moderate proportion of short sales. However, in a portfolio with a high proportion of short sales, the margin trading long-short strategy actually realizes negative returns. These analysis results suggest that credit traders play a role in providing potential liquidity to short sellers. However, in the KOSDAQ market, long-short strategy of margin trading realizes stronger profitability than that of short selling. In the KOSDAQ market, long-short strategy of margin trading is not affected by the proportion of short sales and realizes significant positive returns in all portfolios.

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