Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets
Journal of Risk and Financial Management
; 15(3):105, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1760734
ABSTRACT
We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price stabilization and discovery, while the effect of static VI is limited. The static VI functions similarly to the pre-existing price-limit system;this accounts for its limited incremental benefit.
Full text:
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Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Journal of Risk and Financial Management
Year:
2022
Document Type:
Article
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