...Junghoon Seon Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day’s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct...

...Jin Yoo This paper raises an issue of calculating a value at risk (VaR) of a stock price in the presence of daily price limits, suggests an appropriate methodology for it, and discusses its practical implications. One finding is that the VaR with price limits is never bigger than without. It turns...