An investigation of return-volatility relationship using high-frequency VKOSPI data
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bagchi, D. | - |
dc.contributor.author | Lee, C. | - |
dc.contributor.author | Ryu, D. | - |
dc.date.accessioned | 2023-03-08T21:37:38Z | - |
dc.date.available | 2023-03-08T21:37:38Z | - |
dc.date.issued | 2013 | - |
dc.identifier.issn | 1751-6447 | - |
dc.identifier.issn | 1751-6455 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/64906 | - |
dc.description.abstract | Most previous studies examine the relationship between stock market returns and volatility using low frequency data such as daily or weekly basis. In this study, using the high frequency intraday data, we expand the scope of prior studies to investigate the relationship of short-term changes of Korea's implied volatility index (VKOSPI; Volatility Index of KOSPI200) with short-term market return. We examine the short-term return-volatility relationship with regression analysis and vector autoregression (VAR) equations. The evidence predominantly points to a return-induced, asymmetric, return-volatility relationship. We also find that the asymmetric return is stronger for a high return (upper 10%) than for a low return (lowest 10%). Copyright © 2013 Inderscience Enterprises Ltd. | - |
dc.format.extent | 16 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | Inderscience Publishers | - |
dc.title | An investigation of return-volatility relationship using high-frequency VKOSPI data | - |
dc.type | Article | - |
dc.identifier.doi | 10.1504/AAJFA.2013.054430 | - |
dc.identifier.bibliographicCitation | Afro-Asian Journal of Finance and Accounting, v.3, no.3, pp 258 - 273 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-84879300739 | - |
dc.citation.endPage | 273 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 258 | - |
dc.citation.title | Afro-Asian Journal of Finance and Accounting | - |
dc.citation.volume | 3 | - |
dc.type.docType | Article | - |
dc.publisher.location | 영국 | - |
dc.subject.keywordAuthor | Asymmetric volatility | - |
dc.subject.keywordAuthor | High frequency data | - |
dc.subject.keywordAuthor | Implied volatility | - |
dc.subject.keywordAuthor | VAR | - |
dc.subject.keywordAuthor | Vector autoregression | - |
dc.subject.keywordAuthor | VKOSPI | - |
dc.description.journalRegisteredClass | scopus | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
84, Heukseok-ro, Dongjak-gu, Seoul, Republic of Korea (06974)02-820-6194
COPYRIGHT 2019 Chung-Ang University All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.