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An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange

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  • Choe, Hyuk
  • Sik Shin, Hung

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  • Choe, Hyuk & Sik Shin, Hung, 1993. "An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 175-188, May.
    • Handle: RePEc:eee:pacfin:v:1:y:1993:i:2:p:175-188
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    Citations

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    Cited by:

    1. Xin Ling, 2017. "Normality of stock returns with event time clocks," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 277-298, April.
    2. Islam Azzam & Jasmin Fouad, 2010. "Evaluation Of The Impact Of Day Trading On The Egyptian Stock Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-21.
    3. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    4. Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 489-512, May.
    5. Comerton-Forde, Carole, 1999. "Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 495-521, December.
    6. Chan, Kalok & Chockalingam, Mark & Lai, Kent W. L., 2000. "Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 495-509, December.
    7. A. Can Inci, 2018. "Financials sector intraday volatility characteristics in the emerging Turkish economy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 215-229, August.
    8. Inci, A. Can & Ozenbas, Deniz, 2017. "Intraday volatility and the implementation of a closing call auction at Borsa Istanbul," Emerging Markets Review, Elsevier, vol. 33(C), pages 79-89.
    9. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    10. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    11. Brockman, Paul & Chung, Dennis Y., 1998. "Inter- and intra-day liquidity patterns on the Stock Exchange of Hong Kong," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 277-298, December.
    12. A. Can Inci & Andres Ramirez & Hakan Saraoglu, 2022. "Anatomy of intraday volatility at the Chilean stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 68-98, January.
    13. Balaban, Ercan & Ozgen, Tolga, 2016. "Trading session effects on stock returns and their conditional volatility: Firm-level evidence from a European Union accession country," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 264-271.

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