2008년 글로벌 금융위기 후 공매도 금지조치가 금융시장에 미친 영향

Abstract

공매도는 미래의 주식가격 하락을 예상하여 증권을 차입하여 매도하는 전통적인 투자전략이다. 2008년 이후 미국을 비롯하여 많은 규제당국은 공매도가 시장에 미치는 부정적 영향을 고려하여 이를 규제하였으며, 우리나라는 금융업, 비금융업 모두 여타국에 비해 월등히 오랫동안 공매도를 규제하여 왔다. 본고는 유가증권시장에 상장된 610개 종목의 주문장을 이용하여 공매도 금지의 실효성을 분석하고 있다. 글로벌 금융위기 발생 직후 시행된 공매도 금지조치는 주식가격의 변동성 확대를 축소시키는 데 한계가 있었고, 공매도 거래자의 시장 유동성 공급자의 역할을 제한하는 것으로 나타났다. 한편, 주가 하락의 억제 측면에서 공매도 금지의 정책적 효과는 일부 달성했지만, 공매도 금지가 주식의 공정가격 형성을 저해할 수 있음을 시사하는 결과가 도출되었다.

본고는 이러한 실증분석 결과와 주요국의 공매도 금지의 효과 분석 및 운영사례 조사를 통하여 다음과 같은 정책제언을 하고 있다. 금융시장 불안 및 이에 편승한 공매도 거래의 시장교란 가능성을 차단할 필요성이 발생하는 경우 과거와 같이 비금융업, 금융업 등 산업별 금지조치를 취하기보다는 개별 종목별로 주가 하락폭이 일정 수준을 넘어서는 경우 공매도 금지를 고려하는 방안을 고려하여 규제가 불필요하게 시장 효율성을 저해하는 요인으로 작용할 가능성을 최소화하여야 할 것이다. 또한 공매도 금지의 기간에 있어서도 최소한의 기간으로 한정하고 일정 기간이 지난 후에는 금지의 효과에 대한 평가를 통해 금지기간 연장 여부를 판단하는 절차가 필요한 것으로 생각된다.

Since 2008, a number of regulatory authorities have disallowed short sales, considering their negative impact on the market. The short selling ban in Korea lasted exceptionally longer than that of other major countries for both financial and non- financial stocks. This is surprising because Korea is one of countries whose markets were stabilized from the 2008 financial crisis relatively early and its market instability did not last long during the European financial crisis in 2011. We analyze whether the short selling ban contributed the early market stabilization by controlling price depreciation and volatility in Korea or whether it negatively affected the stock market efficiency and quality by enforcing restriction on the stock market for an excessively long period of time.

Our paper differs from existing papers in the following senses. First, we analyze the effect of a short selling ban using the stock market order book, making it possible to use intraday prices and analyze the effect of a short selling ban using the spread, bid residuals, and order imbalances from the order book. Second, our research focuses not only on a time series analysis of the market quality before and after short selling, but also deals with cross-sectional analysis. Third, we evaluate the short selling ban and market efficiency of many leading countries.

We find the followings. First, short selling ban could not reduce market volatility. Moreover, in the case of the non-financial stocks, market volatility decreased even though the short selling ban was lifted. These results suggest no evidence that short selling increases market volatility.

Second, spread did not decrease when compared to the period before the ban even though the volume increased moderately during the ban period. Also, decreasing amount of spread was more noticeable for non-financial stocks than financial stocks after lifting the short sales ban. These results suggest that short sellers have emerged as a liquidity provider, contributing to the market efficiency. Third, as a result of the short selling ban, ask price residual quantity decreased relatively more for non-financial stocks. In other words, the imbalance of ask residual quantity decreased significantly during short selling ban period, in which the bid submission of short sellers was banned. Short sellers contribute to the market depth and asymmetry of the order imbalance.

Overall, we conclude that short selling provides liquidity to the market and improves market quality, suggesting that short selling restriction leads to costs that hamper market efficiency.

Based on results from the empirical analysis, this paper suggests that regulatory authorities consider short sale ban on a certain stock rather than on the whole sector such as non-financial and financial stocks. In this way, the risk of the regulation acting as a hindrance to market efficiency can be minimized. The period of short sale ban should also be restricted to a minimum length of time, and the effect of the prohibition should be evaluated after a certain period of time to decide whether to extend the ban period.