This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Purpose – This study focuses on the profitability of momentum trading in the Korean stock market. More specifically, an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether momentum profits can be explained by...

The study examines the impact of Global Financial Crisis of 2007 onwards on volatility behavior of Asian stock markets using GARCH and TARCH models. The study uses daily closing price data of stock arkets of India, China, Hong Kong, Malaysia, Japan, Indonesia and Korea. The results reveal that...

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...

Using the Fama-French three-factor model, this paper provides an explanation for the variation of idiosyncratic return in the Korean stock market over the period of 1990-2012. There had been an upward trend until 1999 in idiosyncratic volatility and its trend has been reversed afterwards. Our...

This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis,...

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a...