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Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange
16 references·0 citing·40 second hopsampled
Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange (2019)Investors' Trading Behaviour and Stock Ma…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…What Makes Investors Trade? (2001)What Makes Investors Trade?Learning to Be Overconfident (2001)Learning to Be OverconfidentInvestor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…The impact of institutional trading on stock prices (1992)The impact of institutional t…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Noise (1986)NoiseOn the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)A Simple Model of Herd Behavior (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)The General Theory of Employment, Interest and Money. (1936)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Noise Trader Risk in Financial Markets (1990)Policy Uncertainty and Corporate Investment (2015)Prospect Theory: An Analysis of Decision under Risk (1979)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Introductory Econometrics for Finance (2008)
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References

  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1986Noise1,783 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2001Learning to Be Overconfident1,664 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited

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  • 2001What Makes Investors Trade?1,296 cited
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