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Trend in aggregate idiosyncratic volatility

Nam, Kiseok; Khaksari, Shahriar; Kang, Moonsoo - In: Review of financial economics : RFE 35 (2017), pp. 11-28

Persistent link: https://www.econbiz.de/10011959395

Volatility feedback effect and risk-return tradeoff

Chelikani, Surya; Marks, Joseph M.; Nam, Kiseok - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 49-65

Persistent link: https://www.econbiz.de/10014490242

State-dependent volatility feedback effect in the ICAPM

Kilic, Osman; Nam, Kiseok; O'Connor, Matthew L. - In: Finance research letters 59 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014445185

The asymmetric reverting property of stock returns

Nam, Kiseok (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 4

Persistent link: https://www.econbiz.de/10001790050

Is asymmetric mean-reverting pattern in stock returns systematic? : Evidence from Pacific-basin markets in the short-horizon

Nam, Kiseok; Pyun, Chong-soo; Kim, Sei-Wan - In: Journal of international financial markets, … 13 (2003) 5, pp. 481-502

Persistent link: https://www.econbiz.de/10001815452

Volatility and information flows in emerging equity market : a case of the Korean Stock Exchange

Pyun, Chong-soo; Lee, Sa Young; Nam, Kiseok - In: International review of financial analysis 9 (2000) 4, pp. 405-420

Persistent link: https://www.econbiz.de/10001545828

Asymmetric reverting behavior of short-horizon stock returns : an evidence of stock market overreaction

Nam, Kiseok; Pyun, Chong-soo; Avard, Stephen L. - In: Journal of banking & finance 25 (2001) 4, pp. 807-824

Persistent link: https://www.econbiz.de/10001567569

Trend in Aggregate Idiosyncratic Volatility

Nam, Kiseok - 2016

We suggest that price interaction among stocks is an important determinant of idiosyncratic volatility. We demonstrate that as more (less) stocks are listed in the markets, price interaction among stocks increases (decreases), and hence stocks, on average, become more (less) volatile. Our...

Persistent link: https://www.econbiz.de/10012980045