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Understanding stock market volatility: The case of Korea and Taiwan

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  • Titman, Sheridan
  • John Wei, K. C.

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  • Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
    • Handle: RePEc:eee:pacfin:v:7:y:1999:i:1:p:41-66
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    1. Chen, Kuan-Hau & Su, Xuan-Qi & Lin, Li-Feng & Shih, Yi-Cheng, 2021. "Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    2. Rizwana Bashir & Rabia Shakir & Badar Ashfaq & Atif Hassan, 2014. "The Efficiency of Foreign Exchange Markets in Pakistan: An Empirical Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(1), pages 133-149, Jan-June.
    3. Geoffrey M. Ngene & Jinghua Wang, 2024. "Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 539-573, March.
    4. Wu, Chen-Hui & Wu, Chin-Shun & Liu, Victor W., 2009. "The conservatism bias in an emerging stock market: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 494-505, September.
    5. Chen-Yu Chen & Jian-Hsin Chou & Hung-Gay Fung & Yiuman Tse, 2017. "Setting the futures margin with price limits: the case for single-stock futures," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 219-237, January.
    6. Sardar M.N. Islam & Sethapong Watanapalachaikul & Colin Clark, 2007. "Some Tests of the Efficiency of the Emerging Financial Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(3), pages 291-302, December.
    7. Michael O'Neill & Kent Wang & Zhangxin (Frank) Liu & Tom Smith, 2016. "A State-Price Volatility Index for China's Stock Market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 607-626, September.
    8. Hai-Chin Yu & Ming-Chang Huang, 2004. "Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1087-1095.
    9. Hai-Chin YU & Ming-Chang Huang, 2003. "Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong," Econometrics 0308002, University Library of Munich, Germany, revised 18 Aug 2003.
    10. Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    11. Huang, I-Hsiang, 2014. "Does market timing persistently affect capital structure? Evidence from stock market liberalization," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 123-144.
    12. Ghassan Omet & Mohammad Khasawneh & Jamal Khasawneh, 2002. "Efficiency tests and volatility effects: evidence from the Jordanian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(12), pages 817-821.
    13. Lim, Tiong Kiong & Kong, Hwee Chi, 2004. "New evidence on price impact of analyst forecast revisions," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 161-190.
    14. Chiao, Chaoshin & Hung, Ken & Lee, Cheng F., 2004. "The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 709-731, December.
    15. Chaoshin Chiao & Ken Hung & Gladson Nwanna, 2004. "Beta Instability of Firms: The Case of the Taiwan Stock Market During Its Financial Development," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 37-61, January.

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