The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997

DOI10.1007/S10690-006-9024-7MaRDI QIDQ867692zbMATH OpenOpenAlexFDO

Authors A. Kartsaklas, Jinki Kim, Menelaos Karanasos

Publication date 16 February 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-006-9024-7

zbMATH Keywords

Bidirectional feedbackFinancial turmoilForeign investorsStock volatilityTrading volume

Mathematics Subject Classification ID

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Cites work

• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
• Generalized impulse response analysis in linear multivariate models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Identification of long memory in GARCH models
• Lag length and mean break in stationary VAR models
• Least-squares estimation of an unknown number of shifts in a time series
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

Cited in

(4)

• Foreigner investors and stock volatility: Evidence from Taiwan
• Operational time of the Korea stock markets
• Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM)
• Foreign ownership and volatility dynamics of Indonesian stocks

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• TSM

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