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Changes in market uncertainty and profitability of idiosyncratic volatility anomaly in Korea
Kim, Jung-Mu; Park, Yuen Jung; Ok, Young-Kyung - In: Journal of international trade & commerce 15 (2019) 6, pp. 69-78
Persistent link: https://www.econbiz.de/10012591064
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Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea
Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435
Persistent link: https://www.econbiz.de/10010401960
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Online search frequency, retail investor overreaction, and the cross-section of stock returns : evidence from the Chinese stock market
Chen, Jiaqi - In: Emerging markets finance & trade : a journal of the … 54 (2018) 13/14/15, pp. 3189-3208
Persistent link: https://www.econbiz.de/10012125743
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Exploring the nonlinear idiosyncratic volatility puzzle : evidence from China
Li, Bo; Boubaker, Sabri; Liu, Zhenya; Louhichi, Waël; … - In: Computational economics 62 (2023) 2, pp. 527-559
Persistent link: https://www.econbiz.de/10014382734
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MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market
Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...
Persistent link: https://www.econbiz.de/10014500653
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On the relationship between economic policy uncertainty, geopolitical risk and stock market returns in South Korea : a quantile causality analysis
Adebayo, Tomiwa Sunday; Akadiri, Seyi; Rjoub, Husam - In: Annals of financial economics 17 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013189195
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COVID-19's impacts on the Korean stock market
Choi, Changkyu; Jung, Hojin - In: Applied economics letters 29 (2022) 11, pp. 974-978
Persistent link: https://www.econbiz.de/10013411995
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Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons
Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14
The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …
Persistent link: https://www.econbiz.de/10013499504
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Market anomalies in the Korean stock market
Han, Minyeon; Lee, Dong-Hyun; Kang, Hyoung Goo - In: Journal of derivatives and quantitative studies 28 (2020) 2, pp. 3-50
This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have...
Persistent link: https://www.econbiz.de/10012592598
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Volatility spillovers and linkages in Asian stock markets
Chow, Hwee-kwan - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2770-2781
Persistent link: https://www.econbiz.de/10011833383