상세정보

This paper examines the relationship between the default risk of the KOSPI-listed firms and their 
short-selling activities in the Korean stock market. To measure the firm’s default risk, I use two 
indicators; distance-to-default (DD) and expected default frequency (EDF). I find that the 
proportion of short-selling transactions increases the firms’ default risk when I define my sample
to KOSPI 200 firms. Through various subsample analyses and robustness tests, I find that the 
degree of short-selling increases the firm’s default risk. To address the causality between the 
short-selling activity and default risk, I find that in the first lag of the Granger causality test, 
either the proportion of short-selling transactions and the firm’s default risk Granger causes the 
other. In the second lag, only the proportion of short-selling transactions Granger causes the 
firm’s default risk. 

1. Introduction   1
2. Short-selling System in Korea   4
3. Literature review   7
4. Data, sample, variable definitions, summary statistics   10
 4.1. Data source and sample   10
 4.2. Variable definitions   11
5. Methodology   14
 5.1. Univariate analysis   14
 5-2. Multivariate analyses   15
 5.3. Interaction between KOSPI 200 (Non-KOSPI 200) and Short-selling Activity   16
 5.4. Subsample analyses   17
 5.5. Granger causality   18
6. Empirical results   19
 6.1. Univariate and Multivariate analyses   19
 6.2. Interaction between KOSPI 200 (Non-KOSPI 200) and Short-selling Activity   22
 6.3. Subsample analyses   24
 6.4. Granger causality test   27
 6.5. Robustness test   29
7. Conclusion   30