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Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange

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  1. Mubarik, Fauzia & Javid, Attiya Yasmin, 2009. "Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market," MPRA Paper 37558, University Library of Munich, Germany.
  2. Liu, Xinghua & Liu, Xin & Liang, Xiaobei, 2015. "Information-driven trade and price–volume relationship in artificial stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 73-80.
  3. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
  4. Eric Girard & Mohammed Omran, 2009. "On the relationship between trading volume and stock price volatility in CASE," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 5(1), pages 110-134, February.
  5. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les & Xu, Danyang, 2021. "Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 55-81.
  6. André Farber & Van Nam Nguyen & Quan-Hoang Vuong, 2006. "Policy impacts on Vietnam stock markets: a case of anomalies and disequilibria 2000-2006," Working Papers CEB 06-005.RS, ULB -- Universite Libre de Bruxelles.
  7. 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.
  8. Dinesh Gajurel & Akhila Chawla, 2022. "International Information Spillovers and Asymmetric Volatility in South Asian Stock Markets," JRFM, MDPI, vol. 15(10), pages 1-18, October.
  9. Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.
  10. Fahad Waqas Mir & Nousheen Tariq Bhutta, 2024. "Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1680-1695, April.
  11. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
  12. Pramod Kumar Naik & Puja Padhi, 2015. "Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC)," Global Business Review, International Management Institute, vol. 16(5_suppl), pages 28-45, October.
  13. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
  14. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
  15. Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018. "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, vol. 44(C), pages 88-99.
  16. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
  17. Brajesh Kumar, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
  18. Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018. "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 99-114, January-M.
  19. Ping Wang & Peijie Wang & Aying Liu, 2005. "Stock return volatility and trading volume: evidence from the chinese stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 3(1), pages 39-54.
  20. Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
  21. Chen, Xiangyu & Tongurai, Jittima, 2023. "Which liquidity indicator is more informative to market volatility? Spectrum analysis of China’s base metal futures market," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  22. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
  23. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 245-271, September.
  24. Rafaqet Ali & Muhammad Afzal, 2012. "Impact of global financial crisis on stock markets: Evidence from Pakistan and India," E3 Journal of Business Management and Economics., E3 Journals, vol. 3(7), pages 275-282.
  25. Frankovic, Jozo & Liu, Bin & Suardi, Sandy, 2022. "On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia," Global Finance Journal, Elsevier, vol. 54(C).
  26. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, 2009. "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
  27. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  28. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
  29. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 139-159, April.
  30. Beum‐Jo Park, 2007. "Trading Volume, Volatility, And Garch Effects In The South Korean Won/Us Dollar Exchange Market: Evidence From Conditional Quantile Estimation," The Japanese Economic Review, Japanese Economic Association, vol. 58(3), pages 382-399, September.
  31. Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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