... to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode Turn-of-the-month effect Individual investor Foreign investor Increased liquidity of investor Trading volume G15 The turn-of-the-month (TOM) effect...

...Woosung Jung; Mhin Kang This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before...

...Mhin Kang; Joon Chae This study demonstrates the contemporaneous correlation between return and the change of trading volume (CCRV) in the Korean stock market and analyzes the effect of trading volume change on the return and its volatility of individual stocks. Also, we examine the underlying...

... transactions in domestic FX market. The period of study was 54 months from Jan 2010 to June 2014. For detailed research, separate analysis was performed by full year and each year. Our main findings can be summarized as follows : There are statistically plus significant influences of the NPS’s trading volume...

...Kook-Hyun Chang; Byung-Jo Yoon This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model...

...Chang Hyeon Yun; Lee Seong Gu In this study we examine the relationships between trader-type-specific trading volumes and the price volatility of the KOSPI200 stock index futures over the period of July 1997 through December 2001. The principal findings of this study are that the changes in trading...