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Jaeuk Khil

Personal Details

First Name:Jaeuk
Middle Name:
Last Name:Khil
Suffix:
RePEc Short-ID:pkh146

Affiliation

College of Economics and Business Administration
Hanyang University

Ansan, South Korea
http://ibus.hanyang.ac.kr/
RePEc:edi:cbhaykr (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Joon Chae & Jaeuk Khil & Eun Jung Lee, 2013. "Who Makes Markets? Liquidity Providers Versus Algorithmic Traders," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 397-420, May.
  2. Jaeuk Khil & Young S. Park & Jhinyoung Shin, 2012. "The More Transparent, the Better? Effects of Transparency Regime Changes on Large/Actively Traded Stocks on the Korea Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 133-152, January.
  3. Khil, Jaeuk & Lee, Bong-Soo, 2002. "A Time-Series Model of Stock Returns with a Positive Short-Term Correlation and a Negative Long-Term Correlation," Review of Quantitative Finance and Accounting, Springer, vol. 18(4), pages 381-404, June.
  4. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 457-482, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Joon Chae & Jaeuk Khil & Eun Jung Lee, 2013. "Who Makes Markets? Liquidity Providers Versus Algorithmic Traders," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 397-420, May.

    Cited by:

    1. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    2. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    3. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    4. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    5. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
    6. Xuejun Jin & Jingyu Zhao & Xingguo Luo, 2022. "Why are the prices of European‐style derivatives greater than the prices of American‐style derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1772-1793, September.
    7. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.

  2. Khil, Jaeuk & Lee, Bong-Soo, 2002. "A Time-Series Model of Stock Returns with a Positive Short-Term Correlation and a Negative Long-Term Correlation," Review of Quantitative Finance and Accounting, Springer, vol. 18(4), pages 381-404, June.

    Cited by:

    1. Eunju Lee, 2016. "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 797-833, October.
    2. Giner, Javier & Zakamulin, Valeriy, 2023. "A regime-switching model of stock returns with momentum and mean reversion," Economic Modelling, Elsevier, vol. 122(C).
    3. Ai Deng, 2013. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150, December.
    4. Nazliben, K. Korhan & Rodríguez, Juan Carlos, 2018. "Permanent shocks, signal extraction, and portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 47-68.
    5. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.

  3. Khil, Jaeuk & Lee, Bong-Soo, 2000. "Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 457-482, July.

    Cited by:

    1. Chiang, Thomas C., 2023. "Real stock market returns and inflation: Evidence from uncertainty hypotheses," Finance Research Letters, Elsevier, vol. 53(C).
    2. Osamah M. Al-Khazali, 2003. "Stock Prices, Inflation, and Output: Evidence from the Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(3), pages 287-314, September.
    3. Adel A. Al-Sharkas & Marwan Al-Zoubi, 2011. "Stock Prices and Inflation: Evidence from Jordan, Saudi Arabia, Kuwait, and Morocco," Working Papers 653, Economic Research Forum, revised 12 Jan 2011.
    4. Austin Murphy & Anandi Sahu, 2001. "Empirical evidence of a positive inflation premium being incorporated into stock prices," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 29(2), pages 177-185, June.
    5. Peters, David W., 2007. "The behavior of government of Canada real return bond returns," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 152-171.
    6. Mansor H. Ibrahim and Wan Sulaiman Wan Yusoff, 2001. "Macroeconomic Variables, Exchange Rate And Stock Price: A Malaysian Perspective," IIUM Journal of Economics and Management, IIUM Journal of Economis and Management, vol. 9(2), pages 141-164, December.
    7. Cyrus Mutuku & Kirwa Lelei Ng¡¯eny, 2015. "Macroeconomic Variables and the Kenyan Equity Market: A Time Series Analysis," Business and Economic Research, Macrothink Institute, vol. 5(1), pages 1-10, June.
    8. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Olubiyi, Ebenezer A. & Adedeji, Adedayo O., 2023. "The inflation-hedging performance of industrial metals in the world's most industrialized countries," Resources Policy, Elsevier, vol. 81(C).
    9. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
    10. Murphy, Austin & AlSalman, Zeina, 2023. "Relationships between stock returns and real earnings yields over the last 150 years," Finance Research Letters, Elsevier, vol. 57(C).
    11. Shu‐Chin Lin, 2009. "Inflation And Real Stock Returns Revisited," Economic Inquiry, Western Economic Association International, vol. 47(4), pages 783-795, October.
    12. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
    13. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    14. van Aarle, Bas & Garretsen, Harry & Gobbin, Niko, 2003. "Monetary and fiscal policy transmission in the Euro-area: evidence from a structural VAR analysis," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 609-638.
    15. Dalina Amonhaemanon & Jan Annaert & Marc J.K. De Ceuster & Hau Le Long, 2014. "The Fisher Hypothesis and Investment Assets: The Vietnamese and Thai Case," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 180-195, October.
    16. Ahmad Hamidi, Hakimah Nur & Khalid, Norlin & Abdul Karim, Zulkefly, 2018. "Revisiting Relationship Between Malaysian Stock Market Index and Selected Macroeconomic Variables Using Asymmetric Cointegration," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 52(1), pages 311-319.
    17. Kevin P. Evans & Alan E. H. Speight, 2006. "Real‐Time Risk Pricing Over the Business Cycle: Some Evidence for the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1‐2), pages 263-283, January.
    18. Abdul Razak Abdul Hadi & Eddy Tat Hiung Yap & Zalina Zainudin, 2019. "The Effects of Relative Strength of USD and Overnight Policy Rate on Performance of Malaysian Stock Market – Evidence from 1980 through 2015," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 13(2), June.
    19. Janor, Hawati & Rahim, Ruzita & Yaacob, Mohd & ibrahim, izani, 2010. "Stock Returns and Inflation with Supply and Demand Shocks: Evidence from Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 44, pages 3-10.
    20. Yu, Hao & Nartea, Gilbert V. & Gan, Christopher & Yao, Lee J., 2013. "Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 356-371.

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