가격제한폭 도달빈도가 높은 주식의 특성에 관한 실증연구
(An) Empirical Study on Characteristics of Stocks that Frequently Hit Price-Limits
가격제한폭 도달빈도 주식시장 주가;
- 원문 URL
A stock market is working as essential motive in Capitalism, which is playing a great role as the raising-funds means of company and the investment means of individual. It is obvious that there have been enormous studies on stock market due to its primary role in Capitalism. Most of these studies are based on the assumption that stock market works efficiently. In fact, there has been the market failure in real market. Especially, this market failure often results from micro-structure such as an institutional factor. This study focuses on reviewing Price-Limit as one of the institutional factors, which sets regulative limits to the daily fluctuation range of stock price. The main object of this study lies in finding the common characteristics of stocks which is more susceptible to Price-Limits. This study is based on the daily stock market data which had been collected for 2,078 business days-from 1-Apr-1995 to 31-Dec-2002, and the subject of this study is the 529 companies which has been listed on stock market of Korea for those times. It has been well showed in the related studies that volatile stocks, more active stocks and small-scale stocks are more strongly influenced by price-limits. The basic finding of this study goes with those of other empirical studies. This study can provide an investor with a practical suggestion as well as theoretical implication.