Earticle

초록

영어

This paper investigates whether there is the heterogeneity for fund manager as investor and an asymmetric volatility under short-sales constraints and if so, which factors are driving for it in Korean fund market using fund return data over period of 2002-2008. Specifically, with short-sales constrains we test the hypothesis of the difference of opinion developed by Chen et el. (2001) and Hong and Stein (2003). The result from GJR -GARCH (1, 1) model shows that there is an asymmetric volatility in fund return, as well. While, when turnover is used as the proxy for differences of opinion among fund managers, there isn’t enough evidence that asymmetric volatility is based on investor heterogeneity effect. The existence of leverage effect is not observed in the Korea fund market as well.

목차

Abstract
 1. Introduction
 2. Model
  2.1. An Asymmetric Volatility Model
  2.2. Test of Asymmetry
 3. Data and Statistics
 4. Empirical Results
 5. Conclusion
 References

키워드

저자

• SungSin Kim [ Division of Business Administration, College of Business, Sangmyung University ]
• Pando Sohn [ Dong-A University, 2-1 Se-Gu, Bunin-Dong, Busan 602-760, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  International Journal of Multimedia and Ubiquitous Engineering

• 간기

  월간

• pISSN

  1975-0080

• 수록기간

  2008~2016

• 등재여부

  SCOPUS

• 십진분류

  KDC 505 DDC 605