Abstracting Volatility Dynamics of South Korean Stock Market: A case study

The main aim of this research paper is to investigate the volatility dynamics of South Korean stock market. The sample data covers the long time period from December 1996 to September 2022, which also includes certain extreme events such as: the Asian financial crisis of 1997, the global financial c...

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Bibliographic Details
Published in:Revista de stiinte politice 2022-01 (76), p.115-123
Main Authors: Spulbar, Cristi, Birau, Ramona, Trivedi, Jatin, Simion, Mircea Laurentiu, Spulbar, Andrei Cristian
Format: Article
Language:English
Subjects:
Case studies
Coronaviruses
COVID-19
Econometrics
Economic crisis
International finance
Kurtosis
Normal distribution
Pandemics
Securities markets
Statistics
Stochastic models
Stock exchanges
Time series
Volatility
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Summary:The main aim of this research paper is to investigate the volatility dynamics of South Korean stock market. The sample data covers the long time period from December 1996 to September 2022, which also includes certain extreme events such as: the Asian financial crisis of 1997, the global financial crisis of 2008, the COVID-19 pandemic, the war between Russia and Ukraine. The econometric approach focuses on GARCH models and certain statistical tests. The empirical results contribute to the existing specialized literature.
ISSN:1584-224X