Dynamics of Asset Returns Considering Asymmetric Volatility Effects: Evidences from Korean Asset Markets
In this paper, we claim the asymmetric response of asset returns on the past asset returns' signs may be explained from the market behavioral portfolio choice of investors. For this, we admit the anchor and adjustment mechanism of investors which partly explains the momentum in the asset prices...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Development Institute
2011-03-01
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| Series: | KDI Journal of Economic Policy |
| Subjects: | |
| Online Access: | https://doi.org/10.23895/kdijep.2011.33.1.93 |