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Kyong Shik Eom, UC Berkeley: The role of dynamic and static volatility interruptions: Evidence from the Korean stock markets

March 1, 2018 @ 12:30 pm - 2:00 pm

We conduct a comprehensive analysis on the sequential introductions of dynamic and static volatility interruption (VI) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit damage to investors from brief periods of abnormal volatility, for individual stocks. We find that dynamic VI is effective in stabilizing markets and price 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.

Read the paper this talk is based on: Kwon-Eom-La-Park-VIs-March-1-2018 Download the slides from this presentation: 2018_March_1_VI_Eom_Risk Seminar_Revised


March 1, 2018
12:30 pm - 2:00 pm
Event Category:


1011 Evans Hall
1011 Evans Hall
Berkeley, CA 94720 United States
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