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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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    References listed on IDEAS

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    1. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    2. Summers, L.H. & Summers, V.P., 1989. "When Financial Markets Work Too Well : A Cautious Case For A Securities Transactions Tax," Papers t12, Columbia - Center for Futures Markets.
    3. 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.
    4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    5. Costello, Donna M, 1993. "A Cross-Country, Cross-Industry Comparison of Productivity Growth," Journal of Political Economy, University of Chicago Press, vol. 101(2), pages 207-222, April.
    6. John Campbell & Jianping Mei, 1993. "Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk," NBER Working Papers 4329, National Bureau of Economic Research, Inc.
    7. Loughran, Tim & Ritter, Jay R. & Rydqvist, Kristian, 1995. "Initial public offerings: International insights," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 139-140, May.
    8. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    9. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    10. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    11. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    12. Jegadeesh, Narasimhan, 1991. " Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K," Journal of Finance, American Finance Association, vol. 46(4), pages 1427-1444, September.
    13. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
    14. repec:bla:joares:v:31:y:1993:i::p:183-223 is not listed on IDEAS
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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, EconWPA, revised 18 Aug 2003.
    6. 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.
    7. 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.
    8. 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.

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