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Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange

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  • Pyun, Chong Soo
  • Lee, Sa Young
  • Nam, Kiseok

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  • Pyun, Chong Soo & Lee, Sa Young & Nam, Kiseok, 2000. "Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 405-420.
    • Handle: RePEc:eee:finana:v:9:y:2000:i:4:p:405-420
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    1. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 21-39, March.
    2. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    3. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    6. Roll, Richard, 1992. "Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
    7. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
    8. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    9. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1991. "Asymmetric Predictability of Conditional Variances," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 597-622.
    10. Liesenfeld, Roman, 1998. "Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 101-109, January.
    11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    12. Epps, Thomas W & Epps, Mary Lee, 1976. "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis," Econometrica, Econometric Society, vol. 44(2), pages 305-321, March.
    13. Vanitha Ragunathan & Albert Peker, 1997. "Price variability, trading volume and market depth: evidence from the Australian futures market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 447-454.
    14. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    15. Abhyankar, Abhay H., 1995. "Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 75-92, May.
    16. Bollerslev, Tim & Jubinski, Dan, 1999. "Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 9-21, January.
    17. Stock, James H, 1987. "Measuring Business Cycle Time," Journal of Political Economy, University of Chicago Press, vol. 95(6), pages 1240-1261, December.
    18. Lamoureux, Christopher G & Lastrapes, William D, 1994. "Endogenous Trading Volume and Momentum in Stock-Return Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 253-260, April.
    19. Ayadi, O. Felix & Pyun, C. S., 1994. "An application of variance ratio test to the Korean securities market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 643-658, September.
    20. Bollerslev, Tim & Domowitz, Ian, 1993. "Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
    21. repec:bla:jfinan:v:44:y:1989:i:1:p:1-17 is not listed on IDEAS
    22. Harris, Lawrence, 1987. "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 127-141, June.
    23. Ronald Mahieu & Rob Bauer, 1998. "A Bayesian analysis of stock return volatility and trading volume," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 671-687.
    24. Andersen, Torben G, 1996. "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
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