The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 12 (2005)
Issue (Month): 3 (September)
|Contact details of provider:|| Web page: http://springerlink.metapress.com/link.asp?id=102851 |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- W. A. Brock, 1993.
"Pathways to Randomness in the Economy: Emergent Nonlinearity and Chaos in Economics and Finance,"
93-02-006, Santa Fe Institute.
- William A. Brock, 1993. "Pathways to randomness in the economy: Emergent nonlinearity and chaos in economics and finance," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 3-55.
- Silvapulle, Param & Choi, Jong-Seo, 1999. "Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 59-76.
- Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
- Ajit Singh, 1998.
"Financial liberalisation, stockmarkets and economic development,"
Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 8(1), pages 165-182.
- Singh, Ajit, 1997. "Financial Liberalisation, Stockmarkets and Economic Development," Economic Journal, Royal Economic Society, vol. 107(442), pages 771-82, May.
- Singh, Ajit, 1996. "Financial liberalisation,stockmarkets and economic development," MPRA Paper 53897, University Library of Munich, Germany.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
3128710, Harvard University Department of Economics.
- Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 905-39, November.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- Christian Conrad & Berthold R. Haag, 2006. "Inequality Constraints in the Fractionally Integrated GARCH Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 413-449.
- Conrad Christian & Karanasos Menelaos, 2005. "Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-38, December.
- Minxian Yang, 2002. "Lag length and mean break in stationary VAR models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 374-387, 06.
- Geert Bekaert & Campbell R. Harvey, 1997.
"Foreign Speculators and Emerging Equity Markets,"
NBER Working Papers
6312, National Bureau of Economic Research, Inc.
- Singh, A. & Weisse, B. A., 1998.
"Emerging Stock Markets, Portfolio Capital Flows and Long-term Economic Growth: Micro and Macroeconomic Perspectives,"
Accounting and Finance Discussion Papers
98-af40, Faculty of Economics, University of Cambridge.
- Singh, Ajit & Weisse, Bruce A., 1998. "Emerging stock markets, portfolio capital flows and long-term economie growth: Micro and macroeconomic perspectives," World Development, Elsevier, vol. 26(4), pages 607-622, April.
- Vilasuso, Jon, 2001. "Causality tests and conditional heteroskedasticity: : Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 101(1), pages 25-35, March.
- Reinhart, Carmen & Edison, Hali, 2001.
"Stopping hot money,"
13862, University Library of Munich, Germany.
- Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
- 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.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
- Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
- Saatcioglu, Kemal & Starks, Laura T., 1998. "The stock price-volume relationship in emerging stock markets: the case of Latin America," International Journal of Forecasting, Elsevier, vol. 14(2), pages 215-225, June.
- Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04.
- 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.
- 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 221-29, March.
- Harris, Lawrence, 1987. "Transaction Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 127-141, June.
- 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(01), pages 21-39, March.
When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:12:y:2005:i:3:p:245-271. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.