Tail risk under price limits
This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased...
Ausführliche Beschreibung
Autor*in: |
Oh, Sekyung [verfasserIn] Kee, Hyukdo [verfasserIn] Park, Kinam [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2018 |
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Schlagwörter: |
Wirtschaftsmodell / Makroökonomisches Modell / Modellierung / Theorie / Welt |
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Schlagwörter: |
Übergeordnetes Werk: |
Enthalten in: Economic modelling - Amsterdam : Elsevier [u.a.], 1984, 77 |
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Übergeordnetes Werk: |
volume:77 |
DOI / URN: |
10.1016/j.econmod.2018.12.002 |
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Katalog-ID: |
ELV00206541X |
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245 | 1 | 0 | |a Tail risk under price limits |
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520 | |a This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. | ||
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650 | 4 | |a Tail risk | |
650 | 4 | |a Price limit | |
650 | 4 | |a Systemic risk | |
650 | 4 | |a Risk price | |
700 | 1 | |a Kee, Hyukdo |e verfasserin |4 aut | |
700 | 1 | |a Park, Kinam |e verfasserin |4 aut | |
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2018 |
publishDate |
2018 |
allfields |
10.1016/j.econmod.2018.12.002 doi (DE-627)ELV00206541X (ELSEVIER)S0264-9993(17)31716-9 DE-627 ger DE-627 rda eng Oh, Sekyung verfasserin (orcid)0000-0002-6638-5607 aut Tail risk under price limits 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. 1.1\x Wirtschaftsmodell (DE-2867)10065-1 stw 1.2\x Makroökonomisches Modell (DE-2867)29938-1 stw 1.3\x Modellierung (DE-2867)15381-1 stw 1.4\x Theorie (DE-2867)19073-6 stw 1.5\x Welt (DE-2867)16809-5 stw Tail risk Price limit Systemic risk Risk price Kee, Hyukdo verfasserin aut Park, Kinam verfasserin aut Enthalten in Economic modelling Amsterdam : Elsevier [u.a.], 1984 77 Online-Ressource (DE-627)320507459 (DE-600)2013002-8 (DE-576)094056749 0264-9993 nnns volume:77 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-01001 SKW AR 77 |
spelling |
10.1016/j.econmod.2018.12.002 doi (DE-627)ELV00206541X (ELSEVIER)S0264-9993(17)31716-9 DE-627 ger DE-627 rda eng Oh, Sekyung verfasserin (orcid)0000-0002-6638-5607 aut Tail risk under price limits 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. 1.1\x Wirtschaftsmodell (DE-2867)10065-1 stw 1.2\x Makroökonomisches Modell (DE-2867)29938-1 stw 1.3\x Modellierung (DE-2867)15381-1 stw 1.4\x Theorie (DE-2867)19073-6 stw 1.5\x Welt (DE-2867)16809-5 stw Tail risk Price limit Systemic risk Risk price Kee, Hyukdo verfasserin aut Park, Kinam verfasserin aut Enthalten in Economic modelling Amsterdam : Elsevier [u.a.], 1984 77 Online-Ressource (DE-627)320507459 (DE-600)2013002-8 (DE-576)094056749 0264-9993 nnns volume:77 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-01001 SKW AR 77 |
allfields_unstemmed |
10.1016/j.econmod.2018.12.002 doi (DE-627)ELV00206541X (ELSEVIER)S0264-9993(17)31716-9 DE-627 ger DE-627 rda eng Oh, Sekyung verfasserin (orcid)0000-0002-6638-5607 aut Tail risk under price limits 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. 1.1\x Wirtschaftsmodell (DE-2867)10065-1 stw 1.2\x Makroökonomisches Modell (DE-2867)29938-1 stw 1.3\x Modellierung (DE-2867)15381-1 stw 1.4\x Theorie (DE-2867)19073-6 stw 1.5\x Welt (DE-2867)16809-5 stw Tail risk Price limit Systemic risk Risk price Kee, Hyukdo verfasserin aut Park, Kinam verfasserin aut Enthalten in Economic modelling Amsterdam : Elsevier [u.a.], 1984 77 Online-Ressource (DE-627)320507459 (DE-600)2013002-8 (DE-576)094056749 0264-9993 nnns volume:77 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-01001 SKW AR 77 |
allfieldsGer |
10.1016/j.econmod.2018.12.002 doi (DE-627)ELV00206541X (ELSEVIER)S0264-9993(17)31716-9 DE-627 ger DE-627 rda eng Oh, Sekyung verfasserin (orcid)0000-0002-6638-5607 aut Tail risk under price limits 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. 1.1\x Wirtschaftsmodell (DE-2867)10065-1 stw 1.2\x Makroökonomisches Modell (DE-2867)29938-1 stw 1.3\x Modellierung (DE-2867)15381-1 stw 1.4\x Theorie (DE-2867)19073-6 stw 1.5\x Welt (DE-2867)16809-5 stw Tail risk Price limit Systemic risk Risk price Kee, Hyukdo verfasserin aut Park, Kinam verfasserin aut Enthalten in Economic modelling Amsterdam : Elsevier [u.a.], 1984 77 Online-Ressource (DE-627)320507459 (DE-600)2013002-8 (DE-576)094056749 0264-9993 nnns volume:77 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-01001 SKW AR 77 |
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10.1016/j.econmod.2018.12.002 doi (DE-627)ELV00206541X (ELSEVIER)S0264-9993(17)31716-9 DE-627 ger DE-627 rda eng Oh, Sekyung verfasserin (orcid)0000-0002-6638-5607 aut Tail risk under price limits 2018 nicht spezifiziert zzz rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. 1.1\x Wirtschaftsmodell (DE-2867)10065-1 stw 1.2\x Makroökonomisches Modell (DE-2867)29938-1 stw 1.3\x Modellierung (DE-2867)15381-1 stw 1.4\x Theorie (DE-2867)19073-6 stw 1.5\x Welt (DE-2867)16809-5 stw Tail risk Price limit Systemic risk Risk price Kee, Hyukdo verfasserin aut Park, Kinam verfasserin aut Enthalten in Economic modelling Amsterdam : Elsevier [u.a.], 1984 77 Online-Ressource (DE-627)320507459 (DE-600)2013002-8 (DE-576)094056749 0264-9993 nnns volume:77 GBV_USEFLAG_U SYSFLAG_U GBV_ELV GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_370 GBV_ILN_602 GBV_ILN_702 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2056 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4313 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4393 ECS-01001 SKW AR 77 |
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doi_str_mv |
10.1016/j.econmod.2018.12.002 |
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author2-role |
verfasserin |
title_sort |
tail risk under price limits |
title_auth |
Tail risk under price limits |
abstract |
This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. |
abstractGer |
This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. |
abstract_unstemmed |
This study investigates tail risk dynamics when price limits exist in stock markets, which have not been examined in the previous literature. We present the expected value of tail risk under price limits and then analyze the extent to which such limits affect Korean stock markets when they are eased gradually. The main results are threefold. First, tail risk is seriously underestimated in stock markets with a price limit system. Second, tail risk is a significant risk factor in determining asset prices if price limits are above a certain level (15%). Lastly, related to the Korean economy, tail risk has predictive power to the future stock returns when the price limit is more than 15%. In particular, tail risk has no predictive power until price limits are relaxed to 15%, implying that caution is needed when the effects of tail risk are analyzed in countries where price limits exist. |
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title_short |
Tail risk under price limits |
remote_bool |
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author2 |
Kee, Hyukdo Park, Kinam |
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up_date |
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