Earticle

초록

영어

The goal of this paper is to investigate the dynamics of tail risk when the price limits exist in the stock markets. We present the expected value of tail risk under the price limits based on which we analyze the effect of the price limits on tail risk for the Korean stock markets where the price limits exist and are eased gradually. The main results are: First, tail risk is seriously underestimated in the stock markets with a price limit system. In particular, tail risk cannot be used as a meaningful risk indicator if the price limits are less than 15%. Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price limits are higher than 15%. Third, tail risk is a significant risk factor in determining asset price if the price limits are higher than 15%. Lastly, tail risk has the predictive power from 6 to 12 months in advance as a systemic risk indicator related to the Korean economy if the price limits are higher than 15%.

목차

Abstract
 1. Introduction
 2. Literature review
 3. Derivation of the expected value of tail risk under price limits
 4. Results
  4.1 Data
  4.2 Impact of price limits on tail risk
  4.3 Characteristics of tail risk
  4.3 Predictive power of tail risk
  4.4 Tail risk and asset prices
  4.5 Tail risk as a systemic risk indicator
  4.6 Robustness tests
 5. Conclusion
 References
 Appendix

키워드

저자

• Sekyung Oh [ Konkuk University, Department of Business Administration ]
• KinamPark [ Korea Asset Pricing Co., Samhwan Bldg. ]
• Hyukdo Kee [ Konkuk University, Department of Business Administration ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330