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Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea
Nartea, Gilbert V.; Wu, Ji; Liu, Hong Tao - In: Applied financial economics 24 (2014) 4/6, pp. 425-435
Persistent link: https://www.econbiz.de/10010401960
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Retail investors and the idiosyncratic volatility puzzle : evidence from the Korean stock market
Kang, Jangkoo; Lee, Eunmee; Sim, Myounghwa - In: Asia-Pacific journal of financial studies 43 (2014) 2, pp. 183-222
Persistent link: https://www.econbiz.de/10010408036
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The role of reference-dependent preferences in the idiosyncratic volatility puzzle : evidence from Korea
Le Thi Minh Hang; Hoang Van Hai; Nguyen Truong Son - In: Cogent economics & finance 8 (2020) 1, pp. 1-15
In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and … a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility … domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle …
Persistent link: https://www.econbiz.de/10013179662
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On the relationship between economic policy uncertainty, geopolitical risk and stock market returns in South Korea : a quantile causality analysis
Adebayo, Tomiwa Sunday; Akadiri, Seyi; Rjoub, Husam - In: Annals of financial economics 17 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013189195
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The impact of North Korea’s nuclear tests on Asian stock markets
Baek, Chung - In: Eurasian journal of business and economics : EJBE 14 (2021) 27, pp. 77-90
Persistent link: https://www.econbiz.de/10012608023
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Quantile dependence between foreign exchange market and stock market : the case of Korea
Han, Heejoon; Lee, Na Kyeong - In: East Asian economic review 20 (2016) 4, pp. 519-544
This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...
Persistent link: https://www.econbiz.de/10011765039
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COVID-19's impacts on the Korean stock market
Choi, Changkyu; Jung, Hojin - In: Applied economics letters 29 (2022) 11, pp. 974-978
Persistent link: https://www.econbiz.de/10013411995
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Net transmitter of stock market volatility and safe haven for portfolio investors in the Asian dragons
Lee, Cheng-Wen; Chen, Shu-Hui; Huruta, Andrian Dolfriandra - In: Economies : open access journal 10 (2022) 11, pp. 1-14
The return and volatility spillover effects on Asian Dragons were investigated in this study. Yahoo Finance provided … unidirectional relationships, but volatility spillover effects were shown in both unidirectional and bidirectional connections. The …, the STI was a significant net transmitter of stock market volatility to other markets, according to research. As a result …
Persistent link: https://www.econbiz.de/10013499504
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Time variation of MAX-premium with market volatility : evidence from Korean stock market
Cheon, Yong-Ho; Lee, Kuan-hui - In: Pacific-Basin finance journal 51 (2018), pp. 32-46
Persistent link: https://www.econbiz.de/10012035071
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An equity market perspective on the Korean financial crisis
Sohn, Wook; Choi, Bobae - In: Global economic review 39 (2010) 1, pp. 83-90
Persistent link: https://www.econbiz.de/10003997776