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Korean Journal of Financial Studies 2012;41(3):373-391.
Published online June 30, 2012.
A Study on Asymmetric Herding and Volatility in Stock Markets
Beum Jo Park
주식시장의 비대칭 무리행동과 변동성 연구
박범조
Abstract
Many of the theoretical studies have tried to explain the asymmetric volatility in financial markets using financial leverage effect or volatility feedback effect hypothesis, but lately some studies show that these hypotheses have a clear limitation because they cannot explain the observed reverse symmetry in volatility and the asymmetric volatility in foreign exchange markets. Further, Park(2011) suggests that asymmetric herding would be as a source of asymmetric return volatility. In this research stream, this paper also consider asymmetric herding as a source of asymmetric return volatility in Korean stock markets. Using daily data of KOSPI and KOSDAQ, this paper estimates GJR-GARCH model and herding parameter derived from the extension of continuous beliefs system, and implements Wald test. This paper provides some empirical evidence for asymmetric herding and volatility which, as expected, are prominent in KOSDAQ market with inefficient information. Interestingly, in rising stock market the reverse asymmetric volatility is observed and this might be caused by noisy traders` herding toward market due to overconfidence or a self-perpetuating cycle.
Key Words: 무리행동 파라미터,비대칭 무리행동,비대칭 변동성,연속신념 시스템,Asymmetric Herding,Asymmetric Volatility in Financial Markets,Continuous Beliefs System,GJR-GARCH 모형,GJR-GARCH Model,Herding Parameter


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