Dynamics of Asset Returns Considering Asymmetric Volatility Effects: Evidences from Korean Asset Markets

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ID: 12235
2011
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Abstract
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. We also claim the prospect theory based on the risk aversions may simultaneously work with the anchor and adjustment effect, whenever the lagged asset return was positive and investors accrued the gain. To identify these effects empirically in a threshold autoregressive model, we suppose the risk aversions inducing the volatility effect is related with the past volatility of asset returns. In application of suggested method to Korean stock and real estate markets, we found these effect exist as expected.
Reference Key
yunyeong2011dynamicskdi Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Yun-Yeong, Kim,;soo, Lee, Jin;
Journal kdi journal of economic policy
Year 2011
DOI
DOI not found
URL
https://doi.org/10.23895/kdijep.2011.33.1.93
Keywords Keywords not found

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