Along the lines of Amihud and Mendelson (1987a, 1989,1991, this study investigates the unique trading mechanism of the Korea Stock Exchange (KSE) and its intraday behavior of stock price volatility. The evidence from this study indicates that the introduction of an additional clearing procedure at the afternoon closing makes price discovery process more efficient than before from the viewpoint of stock price volatility. Hence, such trading mechanisms can be applied to emerging stock markets as well as developed stock markets. In addition, based on intraday analysis, stock price volatilities appear to occur mainly during the trading period, not during the lunch break or overnight period. Consequently, the results confirm the previous studies that information arrival and trading activities are the main sources of volatility.
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