The Korean stock market volatility during the currency crisis and the credit crisis

► We estimate the volatility of the Korean stock return using a fad model. ► Fads happened in 1997–1998 crisis but didn't much in 2008–2009 crisis. ► But, foreign investors have had fads even during the recent credit crisis. This paper studies the volatility of the Korean stock market during th...

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Veröffentlicht in:	Japan and the world economy 2011-12, Vol.23 (4), p.246-252
Hauptverfasser:	Cho, Jaeho, Yoo, Byoung Hark
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital market Credit crisis Currency crisis Estimation Fad model Financial crisis Korean stock market volatility Markov switching heteroskedasticity Modelling South Korea Stock exchange Volatility
Online-Zugang:	Volltext
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