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Sudden changes and persistence in volatility of Korean equity sector returns

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 26 (2010) 2, pp. 431-451

Persistent link: https://www.econbiz.de/10009152033

Revisited return and volatility spillover effect in Korea

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 14 (2013) 1, pp. 121-145

Persistent link: https://www.econbiz.de/10010227761

Non-periodic cycles and long memory property in the Korean stock market

Yoon, Seong-min; Kang, Sang Hoon - In: The journal of the Korean economy 9 (2008) 3, pp. 403-424

Persistent link: https://www.econbiz.de/10009776751

Relationship between trading volume and asymmetric volatility in the Korean stock market

Choi, Ki-hong; Jiang, Zhu-hua; Kang, Sang Hoon; Moon, … - In: Modern economy 3 (2012) 5, pp. 584-589

Persistent link: https://www.econbiz.de/10009720531

Price and volatility transmission between ADRs and their underlying stocks : evidence from the Korean case

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 12 (2011) 1, pp. 99-116

Persistent link: https://www.econbiz.de/10009754257

Intraday price and volatility spillovers between Japanese and Korean stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10010414245

The global financial crisis and the integration of emerging stock markets in Asia

Kang, Sang Hoon; Yoon, Seong-min - In: Dae oe gyeong je yeon gu 15 (2011) 4, pp. 49-73

Persistent link: https://www.econbiz.de/10009426743

Asymmetry and long memory features in volatility : evidence from Korean stock market

Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 24 (2008) 2, pp. 383-412

Persistent link: https://www.econbiz.de/10003795500

Price and Volatility Transmission between ADRs and Their Underlying Stocks : Evidence from the Korean Case

Kang, Sang Hoon - 2016

This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price...

Persistent link: https://www.econbiz.de/10013000615

The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia

Kang, Sang Hoon - 2013

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...

Persistent link: https://www.econbiz.de/10013076925