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Investors' net buying pressure and implied volatility dynamics
Ryu, Doojin; Webb, Robert I.; Yang, Heejin; Yu, Jinyoung - In: Borsa Istanbul Review 22 (2022) 4, pp. 627-640
We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...
Persistent link: https://www.econbiz.de/10013334805
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Overseas market shocks and VKOSPI dynamics : a Markov-switching approach
Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Finance research letters 16 (2016), pp. 275-282
Persistent link: https://www.econbiz.de/10011656222
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The price impact of futures trades and their intraday seasonality
Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98
Persistent link: https://www.econbiz.de/10011670875
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Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach
Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571
Persistent link: https://www.econbiz.de/10011913204
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Trading catalysts : how events move markets and create trading opportunities
Webb, Robert I. - 2007
Persistent link: https://www.econbiz.de/10003333068
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Implied volatility index of KOSPI200 : information contents and properties
Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39
Persistent link: https://www.econbiz.de/10009682531
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Market microstructure effects on volatility at the TAIFEX
Webb, Robert I.; Muthuswamy, Jayaram; Segara, Reuben - 2007
Persistent link: https://www.econbiz.de/10003684134
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Shock markets : trading lessons for volatile times
Webb, Alexander; Webb, Robert I. - 2013 - 1. ed.
Persistent link: https://www.econbiz.de/10009748059
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Jumps and trading activity in interest rate futures markets : the response to macroeconomic announcements
Bjursell, Johan; Wang, George H. K.; Webb, Robert I. - In: Asia-Pacific journal of financial studies 42 (2013) 5, pp. 689-723
Persistent link: https://www.econbiz.de/10010249006
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Market microstructure effects on volatility at the TAIFEX
Webb, Robert I.; Muthuswamy, Jayaram; Segara, Reuben - In: The journal of futures markets 27 (2007) 12, pp. 1219-1243
Persistent link: https://www.econbiz.de/10003627207