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

Effects of a Price limit Change on Market Stability at the Intraday Horizon in the Korean Stock Market