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Determinants of stock market performance : VAR and VECM designs in Korea and Japan

Tulcanaza Prieto, Ana Belén; Lee, Young Hwan - In: Global business and finance review 24 (2019) 4, pp. 24-44

Persistent link: https://www.econbiz.de/10012161884

Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72

This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference...

Persistent link: https://www.econbiz.de/10012592791

The negative hiring rate premium on stock returns in the Korean stock market

Bae, Jaewan; Kang, Jangkoo - In: Pacific-Basin finance journal 73 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013388954

V-shaped disposition effect, stock prices, and post-earnings-announcement drift : evidence from Korea

Kim, Minki; Kim, Toyoung; Kim, Tong Suk - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 345-364

Persistent link: https://www.econbiz.de/10014330980

New evidence on sources of leverage effects in individual stocks

Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340

Persistent link: https://www.econbiz.de/10011338155

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

The speed of convergence to market efficiency on NASDAQ hedging stocks

Huang, Han-Ching; Su, Yong-chern; Yang, Ming-yu - In: Investment management and financial innovations 10 (2013) 2, pp. 84-92

Persistent link: https://www.econbiz.de/10010201089

Investor's sentiments and stock market volatility : an empirical evidence from emerging stock market

Ur Rehman, Mobeen - In: Pakistan journal of commerce and social sciences 7 (2013) 1, pp. 80-90

proxies the data on which has been collected mainly from the Karachi stock exchange. Volatility of the stock market returns …

Persistent link: https://www.econbiz.de/10010260221

Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance

Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016

use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative …

Persistent link: https://www.econbiz.de/10011482691

Cross-border sentiment : an empirical analysis on EU stock markets

Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290

Persistent link: https://www.econbiz.de/10010399454