메뉴 건너뛰기
Library Notice
Institutional Access
If you certify, you can access the articles for free.
Check out your institutions.
ex)Hankuk University, Nuri Motors
Log in Register Help KOR
Subject
Humanities
General Humanities History Philosophy Religious Studies Linguistics and Literature Other Humanities
Social science
General Social Science Business Management Tourism Education Military Science Library and Information Science Law Sociology Journalism and Media Studies Psychological Science Political Science and Diplomacy Geography Public Administration Economics International Trade Anthropology Other Social Science
Natural science
General Natural Science Physics Biology Life Sciences Mathematics/Statistics Astronomy Earth Science Chemistry Other Natural Science
Engineering
General Engineering Architectural Engineering Mechanical Engineering Industrial Engineering Material/Energy Engineering Electrical and Electronic Engineering Marine and Ocean Engineering Chemical Engineering Computer Science Other Engineering
Medical science
General Medical Science Nursing Science Veterinary Pharmacy Traditional Korean Medicine Basic Medicine Clinical Medicine Other Medicine
Agriculture and Fishery
General Agriculture and Fishery Agriculture Fishery Science Food Science Forestry Animal Husbandry Marine Transportation Studies Other Agriculture and Fishery
Art and Kinesiology
General Arts Design Fine Arts Cosmetology Photography Music Fashion Kinesiology Performing Media Arts Other Arts and Kinesiology
Interdisciplinary Studies
Interdisciplinary Research Science and Technology Studies Brain and Cognitive Science Technology Policy Other Interdisciplinary Studies

KOR

Do the Price Limits in KOSDAQ Market change on the Volatility?
Recommendations
Search

코스닥시장의 가격제한폭 확대는 변동성을 증가시키는가?

논문 기본 정보

Type
Academic journal
Author
Jonghae Park (경남과학기술대학교) DEASUNG JUNG (부산대학교)
Journal
대한경영정보학회 경영과 정보연구 경영과 정보연구 제33권 제2호 KCI Accredited Journals
Published
2014.6
Pages
119 - 133 (15page)

Usage

cover
Do the Price Limits in KOSDAQ Market change on the Volatility?
Ask AI
Recommendations
Search

Abstract· Keywords

Report Errors
This Research focuses on the effect of the price limits change in KOSDAQ market change on the volatility. The sample period ranges from 22 May 2000 to 24 March 2010 for daily data. We construct two subsample periods for comparing with the effect of the change of the price limit. These limits were relaxed from 12% to 15% on March 25, 2005. The first subsample period is from 25 March 2000 to 24 March 2005. The second subsample period is from 25 March 2005. to 24 March 2010. We employee four different volatility, which are the range-based volatility of Parkinson(1980; PK), Garman and Klass(1980; GK) Rogers and Satchell(1991; RS), Yang and Zhang(2008; YZ). The empirical result as follows. The major findings are summarized as follows;First, the volatility of individual stocks in KOSDAQ market reduces significantly after the price limit change. Second, There is so high volatile especially when the volatility of stock prices is high. Third, There is no meaningful relationship between volatility and market capitalization. Fourth, the more volume stocks reduce the volatility. Our results show the volatility decreased the more large volume, the more trading amount and the high price stock.
#변동성 #범위변동성 #가격제한폭 #volatility #range-based volatility #price limits

Contents

No content found

References (21)

Add References
김은영 / 2009 / A Comparative Study on the Forecasting Performance of Range Volatility Estimators using KOSPI 200 Tick Data / 재무관리연구 26(2):181~201 google schola 김현석 / 2009 / 채권시장 변동성의 비대칭적 반응에 관한 연구 / 경영과 정보연구 28(4):93~108 google schola 남명수 / 1996 / 한국주식시장의 가격제한폭 적정수준에 관한 연구 / 재무관리연구 13(1):79~99 google schola 박상용 / 1995 / 가격제한폭제도가 주가기복에 미치는 영향 / 증권금융연구 1:69~91 google schola 박종해 / 2011 / 한국주식시장에서 범위변동성의 기간별 예측력에 관한 연구 / 경영과 정보연구 30(2):237~255 google schola

Related Authors

Recently viewed articles

The AI Age and Future Literacy - AI age and Declaration of literacy -
Won Man- Hee, Kim Jong-Gyu2021.12
 The Covenant Concept in the Post-Exilic Biblical Writings
Young Ki Yoo1991.07
 A Study on the Eternal Life in John’s Gospel
Jae Wook BaeCenter for World Mission, PUTS2004.12
 A Study on Digital Literacy Capabilities for the Utilization of Virtual World Avatars
Kim, Young-Wook, Kim 외 1명Korea Humanities Content Society2021.12

Comments(0)

0

Write first comments.