A Study on Investor Types, Firm Characteristics, and Asymmetric Volatility Effect

• 발행기관: 한국자료분석학회
• 저자명: Jung Hoon Lee Jang Woo Lee
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.14 No.5, 2361~2371쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2012.10.30

영문 초록

We examine in what way investor types affect asymmetric volatility of returns when we compare investor classes defined more strictly. It is documented that the coefficients of asymmetric volatility in higher shared portfolios are shown to be greater than that of lower shared portfolios in case of individual investors. In the case of foreign and institutional investor portfolios, the coefficients of asymmetric volatility in higher shared portfolio are smaller than that of lower shared portfolios. These results shed light on the idea that individual investors are relatively inferior in analyzing information, which is likely to lead to more sensitive reaction to external shocks compared to professional investors. It is also found that leverage, trade volume, and market capitalization affect the degree of asymmetric response of investors to external shocks. What is special with our research is that it combines financial time series data with investor and/or corporate types. By doing so we examine if difference of investor types or firm characteristics leads to difference of asymmetric volatility effect.

목차

1. Motivation

2. Literature Survey and Hypotheses

3. Data and Analytic Methodology

4. Results of Analysis

5. Conclusion and Discussion

References

키워드

Investor types Stock characteristics Asymmetric volatility TGARCH External shocks