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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

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

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

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

Trading catalysts : how events move markets and create trading opportunities

Webb, Robert I. - 2007

Persistent link: https://www.econbiz.de/10003333068

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

Price jump risk in the US housing market

Webb, Robert I.; Yang, Jian; Zhang, Jin - In: The journal of real estate finance and economics 53 (2016) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10011647445

The impact of latency sensitive trading on high frequency arbitrage opportunities

Frino, Alex; Mollica, Vito; Webb, Robert I.; Zhang, Shunquan - In: Pacific-Basin finance journal 45 (2017), pp. 91-102

Persistent link: https://www.econbiz.de/10011800821

Shock markets : trading lessons for volatile times

Webb, Alexander; Webb, Robert I. - 2013 - 1. ed.

Persistent link: https://www.econbiz.de/10009748059

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