NDLI: The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997

Content Provider	Springer Nature Link
Author	Kim, J. Kartsaklas, A. Karanasos, M.
Copyright Year	2006
Abstract	This paper investigates the stock volatility–volume relation in the Korean market for the period 1995–2001. Previous research examined the impact of liberalization on the Korean stock market up to the period before the financial turmoil in 1997 although the crucial measures of the liberalization were introduced after the crisis under the International Monetary Fund program. One of the major features of the reformation was the financial opening to foreign investors. In this study the ‘total’ trading volume is separated into the domestic investors’ and the foreign investors’ volume. By doing this the information used by two different groups of traders can be separated. Further, in addition to the absolute value of the returns and their squares we use the conditional volatility from a GARCH-type model as an alternative measure of stock volatility. The following observations, among other things, are noted about the volume–volatility causal relationship. First, for the entire period there is a strong bidirectional feedback between volume and volatility. In most cases this causal relationship is robust to the measures of volume and volatility used. Second, volatility is related only to ‘domestic’ volume before the crisis whereas after the crisis a bidirectional feedback relation between ‘foreign’ volume and volatility begins to exist. In other words, ‘foreign’ volume tends to have more information about volatility in recent years, which suggests the increased importance of ‘foreign’ volume as an information variable.
Starting Page	245
Ending Page	271
Page Count	27
File Format	PDF
ISSN	13872834
Journal	Asia-Pacific Financial Markets
Volume Number	12
Issue Number	3
e-ISSN	15736946
Language	English
Publisher	Springer US
Publisher Date	2006-12-05
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Bidirectional feedback Financial turmoil Foreign investors Stock volatility Trading volume Economic Theory Econometrics International Economics Financial Economics Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Finance

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India

Investor Familiarity and Home Bias: Japanese Evidence

Insider Trading in the Hong Kong Stock Market

Relationship between Trading Volume and Asymmetric Volatility in the Korean Stock Market

Structural Changes in Volatility of Foreign Exchange Rates after theAsian Financial Crisis

Day trading and stock price volatility

Foreign Exchange Market Volatility in Southeast Asia

The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997

Similar Documents

Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia

Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India

Investor Familiarity and Home Bias: Japanese Evidence

Insider Trading in the Hong Kong Stock Market

Relationship between Trading Volume and Asymmetric Volatility in the Korean Stock Market

Structural Changes in Volatility of Foreign Exchange Rates after theAsian Financial Crisis

Day trading and stock price volatility

Foreign Exchange Market Volatility in Southeast Asia

The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997