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가격제한폭 확대 전후 데이트레이딩 종목일별 시장특성 및 투자성과 변동에 관한 연구

Author
김명애, 우민철
Journal Title
대한경영학회지
Publication Year
2018
Summary

This study investigates the impact of the price change limit increase on the market liquidity, within-day volatility, and investment performance of daytrading stocks. The results show an increase in the number of daytrading accounts, a decrease in spread in the stock market, and an increase in within-day volatility in the ETF market after the limit increase. Furthermore, investment performance improved in both markets, and the price change limit increase had a positive impact on investment performance.

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