가격제한폭 변화가 주가지수의 기본적 변동성과 일시적 변동성에 미치는 영향

The efficient market hypothesis views price volatility as a result of the arrival of new information. However, empirical studies suggest that volatility cannot be explained only by changes in fundamentals. Significant amounts of volatility in asset prices come from noise trading of irrational traders. Therefore, volatility may be defined as the sum of fundamental volatility caused by information arrival and transitory volatility caused by noise trading. This study decomposes the observed KOSPI 200 volatility into fundamental volatility and transitory volatility using Kalman filtering method. This study investigates the effects of price limit change on fundamental and transitory volatility. Most studies investigates the effect on the observed volatility. In contrast to other studies, this study investigates the effect on the fundamental volatilty and transitory volatility individually. The sample period is devided into two sub periods­period A(30 days before price limit change), period B(30 days after price limit change). Analysis showed that observed volatility is increased significantly at 10% level, fundamental volatility is increased at 1% level, and transitory volatility is increased significantly at 5% level. The impulse-response analysis was also performed with three variables (won/dollar exchange rate, corporate bond yield, KOSPI 200). The result showed informational efficiency is not improved after price limit change.