Dynamic and static volatility interruptions : evidence from the Korean stock markets

Eom, Kyong Shik and Kwon, Kyung Yoon and La, Sung Chae and Park, Jong-Ho (2022) Dynamic and static volatility interruptions : evidence from the Korean stock markets. Journal of Risk and Financial Management, 15 (3). 105. ISSN 1911-8066 (https://doi.org/10.3390/jrfm15030105)

[thumbnail of Shik-Eom-etal-JRFM-2022-Dynamic-and-static-volatility-interruptions-evidence-from-the-Korean-stock-markets]
Preview
 Text. Filename: Shik_Eom_etal_JRFM_2022_Dynamic_and_static_volatility_interruptions_evidence_from_the_Korean_stock_markets.pdf
Final Published Version
License: Creative Commons Attribution 4.0 logo
Download (889kB)| Preview

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.

CORE (COnnecting REpositories)