KOSPI200·KOSDAQ150의 다층적 공매도 레짐 위험구조 변화

초록

This study examines how short-selling regime transitions affected risk structures in the KOSPI200 and KOSDAQ150 from 2018 to 2025. During the first full ban, conditional volatility declined in both markets, whereas historical VaR and ES increased, indicating a divergence between current conditional risk and 252-day accumulated tail risk. During the partial reopening, historical tail risk declined, while conditional volatility was unchanged for the KOSPI200 and increased for the KOSDAQ150. The second full ban raised volatility in both markets, particularly in the KOSPI200. Under full reopening, volatility increased in the KOSPI200 but decreased in the KOSDAQ150, narrowing the log-volatility gap by 21.0-22.9% relative to the normal period and 8.8-13.3% relative to the second full ban. Quantile results confirm heterogeneous adjustments across markets and distributional locations. Overall, short-selling regimes generated asymmetric risk responses across time horizons and market structures

키워드