Market Liberalization and Trading in Korea

Authors

  • Lloyd P. Blenman University of North Carolina, United States
  • Dar-Hsin Chen National ChiaoTung University, Taiwan, Province of China
  • Chun-Da Chen Dah-Yeh University, Taiwan, Province of China

DOI:

https://doi.org/10.32890/ijbf2010.7.2.3

Keywords:

South Korea, Market liberalization, Trading behavior, Currency, Multivariate GARCH model

Abstract

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.

 

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Published

19-08-2010

Issue

Vol. 7 No. 2 (2010): International Journal of Banking and Finance (IJBF) Vol. 7, No.2, 2010

Section

Articles

How to Cite

Blenman, L. P., Chen, D.-H., & Chen, C.-D. (2010). Market Liberalization and Trading in Korea. International Journal of Banking and Finance, 7(2), 37-58. https://doi.org/10.32890/ijbf2010.7.2.3

Research impact

Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2010.7.2.3 OpenAlex W2993447815

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