Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market

Wonse Kim and Sungjae Jun

Papers from arXiv.org

Abstract: This paper investigates the effects of a price limit change on the volatility of the Korean stock market's (KRX) intraday stock price process. Based on the most recent transaction data from the KRX, which experienced a change in the price limit on June 15, 2015, we examine the change in realized variance after the price limit change to investigate the overall effects of the change on the intraday market volatility. We then analyze the effects in more detail by applying the discrete Fourier transform (DFT) to the data set. We find evidence that the market becomes more volatile in the intraday horizon because of the increase in the amplitudes of the low-frequency components of the price processes after the price limit change. Therefore, liquidity providers are in a worse situation than they were prior to the change.

Date: 2018-05
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/1805.04728 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1805.04728

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).