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Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities

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  • Choi, Insu
  • Lee, Myounggu
  • Kim, Hyejin
  • Kim, Woo Chang

Abstract

In previous studies, the short-selling market was a factor analyzed in a minor subject and mainly analyzed through macroeconomic factors or correlations. In this study, we tried to analyze the causal relationship with the short-selling volume of the Korean stock market by using Granger causality and transfer entropy, which is a different perspective compared to previous studies. The causal relationship between major global financial market indices and the prices of major community futures such as Bitcoin, gold, and silver and the amount of short selling in the Korean market was analyzed in the 20-day, 60-day, 120-day, and 240-day window. As a result, it was confirmed that very close linear and nonlinear directed statistical dependencies steadily occurred throughout the experimental period at the daily level.

Suggested Citation

  • Choi, Insu & Lee, Myounggu & Kim, Hyejin & Kim, Woo Chang, 2023. "Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000847
    DOI: 10.1016/j.pacfin.2023.102018
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