English Abstract: To explain excess volatility frequently observed in asset markets, this paper suggests that the time … volatility clustering. Reflecting the realistic assumptions, this paper also extends the heterogeneous agent models, and … behavior causes excess volatility as well as volatility clustering, and plays an influential role in dynamics of asset prices …

English Abstract: This paper suggests a dynamic measure of intentional herding, causing the excess volatility or even … directly detect time-varying and market-wide intentional herding using the model of Dynamic Conditional Correlation (DCC … herding on market volatility tends to be stronger during the periods of turbulent markets like the degradation of U …

relatively high positive correlation between the change in US stock index and the foreign investors' net sales in Korean stock … market. The foreign investors' net sales in Korean stock market has positive correlation with the return of Korean stock … market and has negative correlation with the return of Won/dollar exchange rate. These relations are stronger throughout the …

significant relationship between the EDF calculated using bank stock prices and volatility in stock market is examined, reflecting … negative in terms of the correlation coefficient measured by integrating the bank-year observation unit sample. If this weak …