Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market

Gespeichert in:

Autor*in:	Lee, Jin [verfasserIn] Lee, Hangyong [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	foreign investor GARCH-MIDAS macroeconomy volatility

Übergeordnetes Werk:	Enthalten in: International economic journal - Seoul : [Verlag nicht ermittelbar], 1987, 38(2024), 1, Seite 150-165
Übergeordnetes Werk:	volume:38 ; year:2024 ; number:1 ; pages:150-165

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.1080/10168737.2023.2286976

Katalog-ID:	1895399793

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982			\|2 26 \|1 00 \|x DE-206 \|b We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.

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allfields	10.1080/10168737.2023.2286976 doi (DE-627)1895399793 (DE-599)KXP1895399793 DE-627 ger DE-627 rda eng Lee, Jin verfasserin (DE-588)171863712 (DE-627)328278386 (DE-576)132623021 aut Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206 Lee, Hangyong verfasserin (DE-588)131755730 (DE-627)513395628 (DE-576)298719665 aut Enthalten in International economic journal Seoul : [Verlag nicht ermittelbar], 1987 38(2024), 1, Seite 150-165 (DE-627)335484123 (DE-600)2059583-9 (DE-576)263254135 1743-517X nnns volume:38 year:2024 number:1 pages:150-165 https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 Verlag lizenzpflichtig https://doi.org/10.1080/10168737.2023.2286976 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4393 GBV_ILN_4700 AR 38 2024 1 150-165 26 01 0206 4551053058 x1z 15-07-24 26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.
spelling	10.1080/10168737.2023.2286976 doi (DE-627)1895399793 (DE-599)KXP1895399793 DE-627 ger DE-627 rda eng Lee, Jin verfasserin (DE-588)171863712 (DE-627)328278386 (DE-576)132623021 aut Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206 Lee, Hangyong verfasserin (DE-588)131755730 (DE-627)513395628 (DE-576)298719665 aut Enthalten in International economic journal Seoul : [Verlag nicht ermittelbar], 1987 38(2024), 1, Seite 150-165 (DE-627)335484123 (DE-600)2059583-9 (DE-576)263254135 1743-517X nnns volume:38 year:2024 number:1 pages:150-165 https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 Verlag lizenzpflichtig https://doi.org/10.1080/10168737.2023.2286976 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4393 GBV_ILN_4700 AR 38 2024 1 150-165 26 01 0206 4551053058 x1z 15-07-24 26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.
allfields_unstemmed	10.1080/10168737.2023.2286976 doi (DE-627)1895399793 (DE-599)KXP1895399793 DE-627 ger DE-627 rda eng Lee, Jin verfasserin (DE-588)171863712 (DE-627)328278386 (DE-576)132623021 aut Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206 Lee, Hangyong verfasserin (DE-588)131755730 (DE-627)513395628 (DE-576)298719665 aut Enthalten in International economic journal Seoul : [Verlag nicht ermittelbar], 1987 38(2024), 1, Seite 150-165 (DE-627)335484123 (DE-600)2059583-9 (DE-576)263254135 1743-517X nnns volume:38 year:2024 number:1 pages:150-165 https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 Verlag lizenzpflichtig https://doi.org/10.1080/10168737.2023.2286976 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4393 GBV_ILN_4700 AR 38 2024 1 150-165 26 01 0206 4551053058 x1z 15-07-24 26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.
allfieldsGer	10.1080/10168737.2023.2286976 doi (DE-627)1895399793 (DE-599)KXP1895399793 DE-627 ger DE-627 rda eng Lee, Jin verfasserin (DE-588)171863712 (DE-627)328278386 (DE-576)132623021 aut Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206 Lee, Hangyong verfasserin (DE-588)131755730 (DE-627)513395628 (DE-576)298719665 aut Enthalten in International economic journal Seoul : [Verlag nicht ermittelbar], 1987 38(2024), 1, Seite 150-165 (DE-627)335484123 (DE-600)2059583-9 (DE-576)263254135 1743-517X nnns volume:38 year:2024 number:1 pages:150-165 https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 Verlag lizenzpflichtig https://doi.org/10.1080/10168737.2023.2286976 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4393 GBV_ILN_4700 AR 38 2024 1 150-165 26 01 0206 4551053058 x1z 15-07-24 26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.
allfieldsSound	10.1080/10168737.2023.2286976 doi (DE-627)1895399793 (DE-599)KXP1895399793 DE-627 ger DE-627 rda eng Lee, Jin verfasserin (DE-588)171863712 (DE-627)328278386 (DE-576)132623021 aut Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206 Lee, Hangyong verfasserin (DE-588)131755730 (DE-627)513395628 (DE-576)298719665 aut Enthalten in International economic journal Seoul : [Verlag nicht ermittelbar], 1987 38(2024), 1, Seite 150-165 (DE-627)335484123 (DE-600)2059583-9 (DE-576)263254135 1743-517X nnns volume:38 year:2024 number:1 pages:150-165 https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 Verlag lizenzpflichtig https://doi.org/10.1080/10168737.2023.2286976 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_39 GBV_ILN_60 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_100 GBV_ILN_110 GBV_ILN_151 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2111 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4393 GBV_ILN_4700 AR 38 2024 1 150-165 26 01 0206 4551053058 x1z 15-07-24 26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.
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The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.</subfield></datafield></record></collection>
author	Lee, Jin
spellingShingle	Lee, Jin misc foreign investor misc GARCH-MIDAS misc macroeconomy misc volatility Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market
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topic_title	26 00 DE-206 We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market Jin Lee, Hangyong Lee foreign investor (dpeaa)DE-206 GARCH-MIDAS (dpeaa)DE-206 macroeconomy (dpeaa)DE-206 volatility (dpeaa)DE-206
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title_short	Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market
url	https://www.tandfonline.com/doi/pdf/10.1080/10168737.2023.2286976 https://doi.org/10.1080/10168737.2023.2286976
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code="a">GBV_ILN_2336</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2470</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2507</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2548</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4035</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4046</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4112</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4246</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4249</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4305</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4306</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4313</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4322</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4325</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4393</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4700</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">38</subfield><subfield code="j">2024</subfield><subfield code="e">1</subfield><subfield code="h">150-165</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">01</subfield><subfield code="x">0206</subfield><subfield code="b">4551053058</subfield><subfield code="y">x1z</subfield><subfield code="z">15-07-24</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">We employ the GARCH-MIDAS model to examine whether low-frequency macroeconomic variables help to explain the high-frequency volatility of the foreign investors' net purchase in Korean stock market. The estimation results show that business cycle expansion along with high production growth, high inflation and low unemployment rate predicts high volatility in the near future. Higher interest rate and lower money growth are also likely to lead to higher volatility of foreign investors' net purchase. We also find that domestic macroeconomic variables, relative to the US variables, have a stronger correlation with the future volatility of foreign investors' net purchase.</subfield></datafield></record></collection>
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Macroeconomic fundamentals and the volatility of foreign investors' net purchase in Korean stock market

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