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Finance and Financial Management
Market regulation, Trading halt mechanism, Idiosyncratic volatility, Korean stock markets
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Idiosyncratic Volatility And Interruption Mechanisms In South Korean Stock Markets, Seungho Shin
Idiosyncratic Volatility And Interruption Mechanisms In South Korean Stock Markets, Seungho Shin
University of New Orleans Theses and Dissertations
The purpose of this study is to examine how the volatility interruption mechanisms affect idiosyncratic volatilities in Korean stock markets. Collecting the South Korea Stock Market (KOSPI) data from June 15, 2015 to March 31, 2019, we collect each residual„ from three different estimated models: CAPM, FF3, and FF5. To estimate the conditional idiosyncratic volatility, we employ two conditional time-varying measurements: GARCH and TGARCH. Our results show that the conditional idiosyncratic volatility increases when stock prices reach the upper and lower static limits, indicating the implementation of adopting static VI mechanism neither stabilize market conditions nor reduce excess volatility along …