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http://dx.doi.org/10.5392/JKCA.2016.16.08.387

An Examination on Asymmetric Volatility of Firm Size Stock Indices  

Lee, Minkyu (부산대학교 경영연구소)
Lee, Sang Goo (부산가톨릭대학교 병원경영학과)
Publication Information
The Journal of the Korea Contents Association / v.16, no.8, 2016 , pp. 387-394 More about this Journal
Abstract
The volatility in the stock market responds differently to information types. That is, the asymmetric volatility exists in the stock market which responds more to unexpected negative returns due to bad news than unexpected positive returns due to good news. This paper examines the asymmetric response of the volatility of KOSPI, large-cap, middle-cap, and small-cap indices returns which is announced in Korea exchange (KRX) by using the MA-GJR model and the MA-EGARCH model. According to empirical analyses, it shows that the asymmetric response of volatility exists in all indices regardless of volatility estimation models and the degree of the asymmetric volatility response of the small-cap index returns is greater than that of the large-cap index returns. Moreover, this results also observed robustly during the period of both before and after the global financial crisis.
Keywords
Asymmetric Volatility; Conditional Volatility; Firm Size; Stock Index; GARCH Model;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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