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Large datasets, factor-augmented and factor-only vector autoregressive models, and the economic consequences of Mrs. Thatcher

Kim, Hyeyoen; Taylor, Mark P. - In: Economica 79 (2012) 314, pp. 378-410

Persistent link: https://www.econbiz.de/10009536441

The information content of trades : an analysis of KOSPI 200 index derivatives

Ryu, Doojin - In: The journal of futures markets 35 (2015) 3, pp. 201-221

Persistent link: https://www.econbiz.de/10011348449

Price impact asymmetry of futures trades : trade direction and trade size

Ryu, Doojin - In: Emerging markets review 14 (2013), pp. 110-130

Persistent link: https://www.econbiz.de/10009727962

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

Information content of inter-transaction time : a structural approach

Ryu, Doojin - In: Journal of business economics and management 16 (2015) 4, pp. 697-711

Persistent link: https://www.econbiz.de/10011383043

The effectiveness of the order-splitting strategy : an analysis of unique data

Ryu, Doojin - In: Applied economics letters 19 (2012) 4/6, pp. 541-549

Persistent link: https://www.econbiz.de/10009630676

Spread and depth adjustment process : analysis of high-quality microstrucutre data

Ryu, Doojin - In: Applied economics letters 20 (2013) 16/18, pp. 1506-1510

Persistent link: https://www.econbiz.de/10010221174

Comprehensive market microstructure model : considering the inventory holding costs

Ryu, Doojin - In: Journal of business economics and management 18 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011721742

Considering all microstructure effects : the extension of a trade indicator model

Ryu, Doojin - In: Economics letters 146 (2016), pp. 107-110

Persistent link: https://www.econbiz.de/10011619145

The impact of monetary policy on banking and finance stock prices in China

Kim, Hyeyoen; Kim, Junyeup; Lee, Jaeram; Ryu, Doojin - In: Applied Economics Letters 21 (2014) 18, pp. 1257-1261

In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in...

Persistent link: https://www.econbiz.de/10010953782