연구동향 분석

KTB 선물 일별 변동성과 일별 거래량 및 거래빈도수 사이의 관계 분석

강상훈 ( Sang Hoon Kang ) 윤성민 ( Seong Min Yoon ) 2014년

논문상세정보
인용/피인용
' KTB 선물 일별 변동성과 일별 거래량 및 거래빈도수 사이의 관계 분석' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • informationarrival
  • mixtureofdistributionshypothesis
  • persistence
  • trading volume
  • transactionfrequency
  • volatility
  • 거래량
  • 거래빈도수
  • 변동성
  • 정보도착
  • 지속성
  • 혼합분포가설
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
730 0

0.0%

' KTB 선물 일별 변동성과 일별 거래량 및 거래빈도수 사이의 관계 분석' 의 참고문헌

  • 코스피 200 선물거래량 및 미결제약정수는 현물가격예측에 유용한 정보를 제공하는가
    홍정효 金融工學硏究 7 (1) : 1 ~ 25 [2008]
  • 원/달러 외환시장의 일중 가격발견 효율성
    선정훈 엄경식 재무연구 23 (1) : 1 ~ 26 [2010]
  • 영국 GILT 통화선물시장 거래량, 미결제약정 및 수익률간의 선-후행성(Lead-Lag)에 관한 연구
    홍정효 金融工學硏究 7 (3) : 17 ~ 32 [2008]
  • 거래량과 시장 변동성에 관한 연구
    이치송 산업경제연구 22 (2) : 495 ~ 511 [2009]
  • Volatility and Information Flows in Emerging Equity Market : A Case of the Korean Stock Exchange
    Pyun, C. S. International Review of Financial Analysis 9 (4) : 405 ~ 420 [2000]
  • Transactions, Volume, and Volatility
    Jones, C. M. Review of Financial Studies 7 (4) : 631 ~ 651 [1994]
  • Transaction Data Tests of the Mixture of Distributions Hypothesis
    Harris, L. Journal of Financial and Quantitative Analysis 22 (2) : 127 ~ 141 [1987]
  • Trading Volume and Stock Market Volatility : the Polish Case
    Bohl, M. T. International Review of Financial Analysis 12 (5) : 513 ~ 525 [2003]
  • Trading Activity in Stock Index Futures Markets : The Evidence of Emerging Markets
    Huang, Y. C. Journal of Futures Markets 22 (10) : 983 ~ 1003 [2002]
  • The relation between price changes and trading volume : a survey
    Karpoff, J. M. Journal of Financial and Quantitative Analysis 22 (1) : 109 ~ 126 [1987]
  • The Stochastic Dependence of Security Price Changes and Transaction Volumes : Implications for the Mixture-of-Distributions Hypothesis
    Epps, T. W. Econometrica 44 (2) : 305 ~ 321 [1976]
  • The Price Variability-Volume Relationship on Speculative Markets
    Tauchen, G. E. Econometrica 51 (2) : 485 ~ 506 [1983]
  • The Intraday Relation between Return Volatility, Transactions, and Volume
    Xu, X. E. International Review of Economics and Finance 8 (4) : 375 ~ 397 [1999]
  • The Effects of Trading Activity on Market Volatility
    Gallo, G. M. European Journal of Finance 6 (2) : 163 ~ 175 [2000]
  • The Dynamic Relation between Stock Returns, Trading Volume, and Volatility
    Chen, G. Financial Review 36 (3) : 153 ~ 174 [2001]
  • The Dependence between Hourly Prices and Trading Volume
    Jain, P. C. Journal of Financial and Quantitative Analysis 23 (3) : 69 ~ 283 [1988]
  • Studies in Stock Price Volatility Changes
    Black, F. In proceedings of the 1976 Business and Economic Statistics Section : 177 ~ 181 [1976]
  • Stock Return Volatility and Trading Volume : Evidence from the Chinese Stock Market
    Wang, P. Journal of Chinese Economic and Business Studies 3 (1) : 39 ~ 54 [2005]
  • Stochastic Volatility, Trading Volume, and the Daily Flow of Information
    Fleming, J. Journal of Business 79 (3) : 1551 ~ 1590 [2006]
  • Market Statistics and Technical Analysis : The Role of Volume
    Blume, L. Journal of Finance 49 (1) : 153 ~ 181 [1994]
  • KOSPI200 선물의 수익률 변동성과 거래량의 관계*- TGARCH 모형을 이용하여
    김성아 산업경제연구 21 (3) : 1161 ~ 1181 [2008]
  • Intraday Price Change and Trading Volume in the KTB Futures and Futures Option Markets
    Kho, B. C. Korean Journal of Futures and Options 10 (2) : 57 ~ 94 [2002]
  • Heteroskedasticity in Stock Return Data :Volume Versus Garch Effects
    Lamoureux, C. G. Journal of Finance 45 (1) : 221 ~ 229 [1990]
  • Heteroscedasticity in Stock Market Indicator Return Data : Volume versus GARCH Effects
    Sharma, J. Applied Financial Economic 6 (4) : 337 ~ 342 [1996]
  • Generalized Autoregressive Conditional Heteroskedasticity
    Bollerslev, T. Journal of Econometrics 31 (3) : 307 ~ 327 [1986]
  • Effects of Tick Size Change on the Intraday Patterns of Spread and Depth
    신정순 재무관리연구 26 (4) : 141 ~ 163 [2009]
  • Conditional Heteroskedasticity in Asset Returns : A New Approach
    Nelsen, D. B. Econometrica 59 (2) : 347 ~ 370 [1991]
  • Asymmetric Volume-return Relation and Concentrated Trading in LIFFE Futures
    Puri, T. N. European Financial Management 14 (3) : 528 ~ 563 [2008]
  • An Empirical Investigation of Trading Volume and Return Volatility of the Taiwan Stock Market
    Huang, B. N. Global Finance Journal 12 (1) : 55 ~ 77 [2001]
  • An Empirical Investigation of Australian Stock Exchange Data
    Bertram, W. K. Physica A 341 : 533 ~ 546 [2004]
  • ARCH versus Information-based Variances : Evidence from the Tokyo Stock Market
    Miyakoshi, T. Japan and the World Economy 14 (2) : 215 ~ 231 [2002]
  • A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
    Clark, P. K. Econometrica 41 (1) : 135 ~ 155 [1973]
  • A Study on the Lead-Lag Relation between the Trading Volume and the Return Volatility in the KSE
    An, S. C. Management and Economy Research 14 (1) : 19 ~ 33 [2006]