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dc.contributor.authorCaporale, GM-
dc.contributor.authorKaranasos, M-
dc.contributor.authorYfanti, S-
dc.contributor.authorKartsaklas, A-
dc.identifier.citationCaporale, G.M., Karanasos, M., Yfanti, S. and Kartsaklas, A. (2020) 'Investors' trading behaviour and stock market volatility during crisis periods: A dual long-memory model for the Korean Stock Exchange', International Journal of Finance and Economics, 26 (3), pp. 4441 - 4461. doi: 10.1002/ijfe.2024.en_US
dc.description.abstract© 2020 The Authors. This study examines the impact of investors’ buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have an asymmetric effect on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post-crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non-member). Most importantly, decomposing total buy and sell trades into trader-type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre-crisis period before the recent global financial turmoil.-
dc.format.extent4441 - 4461-
dc.rights© 2020 The Authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.-
dc.subjectfinancial crisisen_US
dc.subjectforeign investorsen_US
dc.subjectindividual investorsen_US
dc.subjectinstitutional investorsen_US
dc.subjectlong memoryen_US
dc.subjectrange-based volatilityen_US
dc.titleInvestors' trading behaviour and stock market volatility during crisis periods: A dual long-memory model for the Korean Stock Exchangeen_US
dc.relation.isPartOfInternational Journal of Finance and Economics-
Appears in Collections:Dept of Economics and Finance Research Papers

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