Earticle

초록

영어

We investigate the impact of price limit expansion on stocks’ realized volatility, uniquely integrating both magnet effect and correction effect into our model. Our findings reveal that price limit expansion may increase or decrease stock volatility, with the magnet effect and stocks’ inherent volatility levels as primary driving forces, and the correction effect playing a minor role. Typically, a decrease in volatility occurs when a stock’s inherent volatility is moderate (i.e., neither too high nor too low), while an increase takes place when it is relatively high. We offer an insightful explanation of these contrasting behaviors in relation to the magnet effect and stocks’ inherent volatility.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Volatility estimation in the presence of magnet effect
Ⅲ. Change in volatility due to change in price limit
Ⅳ. Discussion
Ⅴ. Conclusion
References
Appendix

키워드

저자

• Jin Yoo [ Hanyang University, College of Economics and Finance 222 Wangshimni-ro, Seongdong-gu, Seoul, 04763, Korea ] Corresponding Author
• Jeong Hwan Lee [ Hanyang University, College of Economics and Finance 222 Wangshimni-ro, Seongdong-gu, Seoul, 04763, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330