Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258828 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 3 [Article No.:] 105 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-19
Publisher: 
MDPI, Basel
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.
Subjects: 
volatility safeguards
volatility interruption
call auction
price stabilization
price discovery
JEL: 
G10
G18
G20
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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