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Widened Price-limits and Efficiency of Price Discovery over the course of a trading day
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가격제한폭 확대와 일중 가격발견 효율성: 코스피 200 지수 종목의 경우

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Type
Academic journal
Author
Journal
한국파생상품학회 선물연구 선물연구 제24권 제2호 KCI Accredited Journals
Published
2016.1
Pages
245 - 267 (23page)

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Widened Price-limits and Efficiency of Price Discovery over the course of a trading day
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Abstract· Keywords

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Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day’s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct this investigation, we compare price efficiency during such price discovery before and after the event. The changes that has occurred after the event can be summarized as follows: First, an analysis on full-sample indicates that price efficiency is maintained over the course of a trading, while it is aggravated temporary in two early intervals. Second, an analysis on sub-samples sorted by market capitalization, shares outstanding, or share price indicates that temporary aggravation of price efficiency in some mid-intervals is observed for shares outstanding lower group and share price top group. Overall, our results suggest that evidence supporting information hypothesis is found for the whole process of price discovery over the course of a trading day, though evidence supporting over-reaction hypothesis is found in some intervals or some types of stocks.
#가격제한폭 #가격발견 #가격효율성 #과잉반응가설 #정보가설 #Price Limits #Price Discovery #Price Efficiency #Over-reaction Hypothesis #Information Hypothesis

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References (18)

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강석규 / 2009 / 한국주가지수시장의 가격발견에 관한 연구 : KODEX200, KOSPI200과 KOSPI200선물 / 선물연구 17(3):67~97 dbpia 김 솔 / 2000 / 주가지수선물과 주가지수의 가격발견기능에 관한 실증연구 : 공적분과오차수정모형 / 선물연구 7:87~115 google schola 김준석 / 2015 / 가격제한폭 제도의 개편의 영향 평가 / 계간 자본시장 리뷰 (가을):91~106 google schola 김찬웅 / 2001 / 우리나라 주식, 선물, 옵션시장에서의 선도/지연효과에 관한 연구 / 재무관리연구 18:129~156 google schola 우민철 / 2015 / 가격제한폭 확대에 따른 영향 분석 / 한국거래소 증권․파생상품 121:78~101 google schola

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