  This paper investigates the effects of a price limit change on the volatility
of the Korean stock market's (KRX) intraday stock price process. Based on the
most recent transaction data from the KRX, which experienced a change in the
price limit on June 15, 2015, we examine the change in realized variance after
the price limit change to investigate the overall effects of the change on the
intraday market volatility. We then analyze the effects in more detail by
applying the discrete Fourier transform (DFT) to the data set. We find evidence
that the market becomes more volatile in the intraday horizon because of the
increase in the amplitudes of the low-frequency components of the price
processes after the price limit change. Therefore, liquidity providers are in a
worse situation than they were prior to the change.
