Market Liberalization and Trading in Korea
This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was im...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2010
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| Online Access: | https://repo.uum.edu.my/id/eprint/25053/1/IJBF%207%202%202010%2037%2058.pdf |
| _version_ | 1803628857558827008 |
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| author | Blenman, Lloyd P. Chen, Dar-Hsin Chen, Chun-Da |
| author_facet | Blenman, Lloyd P. Chen, Dar-Hsin Chen, Chun-Da |
| author_sort | Blenman, Lloyd P. |
| collection | UUM |
| description | This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found. |
| first_indexed | 2024-07-04T06:28:37Z |
| format | Article |
| id | uum-25053 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:28:37Z |
| publishDate | 2010 |
| publisher | Universiti Utara Malaysia |
| record_format | dspace |
| spelling | uum-250532018-10-31T01:14:13Z https://repo.uum.edu.my/id/eprint/25053/ Market Liberalization and Trading in Korea Blenman, Lloyd P. Chen, Dar-Hsin Chen, Chun-Da HG Finance This paper reports on the trading behavior of major participants, investment trust companies, banks, and foreigners in South Korea in the period after the currency markets were liberalized and the limits on foreign investments were lifted. It was found that trading in the spot currency market was impacted by volatility in the daily Won/USD rates. As the daily unexpected range expanded (narrowed), daily spot trading volume and volatility increased (decreased). This is evidence of asymmetric trading behavior on the part of market participants. It was found that only investment trust companies adjusted their spot positions by trading USD futures as a response to unexpected volatility changes of the exchange rate. There is evidence of volatility clustering of the trading volatilities across Korean markets and trader types and no signs of market instability was found. Universiti Utara Malaysia 2010 Article PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/25053/1/IJBF%207%202%202010%2037%2058.pdf Blenman, Lloyd P. and Chen, Dar-Hsin and Chen, Chun-Da (2010) Market Liberalization and Trading in Korea. The International Journal of Banking and Finance, 7 (2). pp. 37-58. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/140-the-international-journal-of-banking-and-finance-ijbf-vol-7-no-2-august-2010 |
| spellingShingle | HG Finance Blenman, Lloyd P. Chen, Dar-Hsin Chen, Chun-Da Market Liberalization and Trading in Korea |
| title | Market Liberalization and Trading in Korea |
| title_full | Market Liberalization and Trading in Korea |
| title_fullStr | Market Liberalization and Trading in Korea |
| title_full_unstemmed | Market Liberalization and Trading in Korea |
| title_short | Market Liberalization and Trading in Korea |
| title_sort | market liberalization and trading in korea |
| topic | HG Finance |
| url | https://repo.uum.edu.my/id/eprint/25053/1/IJBF%207%202%202010%2037%2058.pdf |
| work_keys_str_mv | AT blenmanlloydp marketliberalizationandtradinginkorea AT chendarhsin marketliberalizationandtradinginkorea AT chenchunda marketliberalizationandtradinginkorea |