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The Best PIN Model in the Korean Stock Market

원문정보

Kyong Shik Eom, Jangkoo Kang, Kyung Yoon Kwon

한국재무학회 재무연구 제29권 제3호 2016.08 pp.425-436
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초록

영어

We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data.

목차

Abstract
 Ⅰ. Introduction
 Ⅰ. The PIN Model and Its Extension
 Ⅲ. Data and Methodology
 Ⅳ. Results
 References

키워드

저자정보

  • Kyong Shik Eom Affiliated Researcher, CRMR, University of California at Berkeley
  • Jangkoo Kang Professor, College of Business, Korea Advanced Institute of Science and Technology
  • Kyung Yoon Kwon Ph.D Candidate, College of Business, Korea Advanced Institute of Science and Technology

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자료제공 : 네이버학술정보

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