The purpose of this paper is to confirm about the short sale prohibition effect of korea stock market. For this purpose we use the disparate ratio and arbitrage strategy. There are so many argues about the effect of short sale prohibition. This study summarize those studies and test the change of the arbitrage profit in the transformation of short sale prohibition. In that process we check the power of prohibition effect. As our confirm result the difference of the prohibition make the change of arbitrage profit and found what is the main element of the profit. From that finding we found the implication about the short selling. That is at the first movement of the big fluctuation of economic situation short selling need to prohibition mainly financial company for the stable transaction and stable situation need to free for the free transaction.
The purpose of this paper is to confirm about the short sale prohibition effect of korea stock market. For this purpose we use the disparate ratio and arbitrage strategy. There are so many argues about the effect of short sale prohibition. This study summarize those studies and test the change of the arbitrage profit in the transformation of short sale prohibition. In that process we check the power of prohibition effect. As our confirm result the difference of the prohibition make the change of arbitrage profit and found what is the main element of the profit. From that finding we found the implication about the short selling. That is at the first movement of the big fluctuation of economic situation short selling need to prohibition mainly financial company for the stable transaction and stable situation need to free for the free transaction.
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