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The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
16 references·0 citing·44 second hop
The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997 (2006)The volume–volatility relationship and th…Globalization and Its Discontents (2015)Globalization and Its Discont…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Stock Prices and Volume (1992)Stock Prices and VolumeHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Economic Reform and the Process of Global Integration (1995)The New Issues Puzzle (1995)Event Studies in Economics and Finance (1997)The World Price of Insider Trading (2002)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Why Does Stock Market Volatility Change Over Time? (1989)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Modernization, cultural change, and democracy the human development sequence (2005)Social determinants of health inequalities (2005)The New Transnational Activism (2005)Asymmetric correlations of equity portfolios (2002)Does financial liberalization spur growth? (2005)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2015Globalization and Its Discontents5,477 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1994A Model of Competitive Stock Trading Volume

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913 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
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