We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...

We study the effects of a conditional random-end (RE) trading mechanism on price stabilization, discovery, and efficiency. Using the real-time order book, we analyze all RE occurrences on the Korea Exchange (KRX) in 2009 and 2010. The RE trading mechanism promoted price stabilization, but with...

We examine whether firms switching listings from the Korean growth market (KOSDAQ) to the main board (KOSPI) experienced improved trading-related market quality. We focus on market macrostructure and use a difference-in-difference technique with nearest matching. Contrary to previous research...

We find compelling evidence that stock return autocorrelation is not spurious. Specifically, we find that partial price adjustment is an important source, and in some cases the main source, of the autocorrelation. In contrast to previous tests, our tests of partial price adjustment are direct,...