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Details about Seong-Min Yoon

E-mail:
Workplace:Department of Economics, Pusan National University, (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Seong-Min Yoon.

Last updated 2022-03-06. Update your information in the RePEc Author Service.

Short-id: pyo53


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Working Papers

2020

  1. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
    Post-Print, HAL View citations (4)
    See also Journal Article in The North American Journal of Economics and Finance (2020)
  2. Inflation cycle synchronization in ASEAN countries
    Post-Print, HAL View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2020)
  3. OPEC News and Jumps in the Oil Market
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2021)
  4. Spillovers and diversification potential of bank equity returns from developed and emerging America
    Post-Print, HAL View citations (9)
    See also Journal Article in The North American Journal of Economics and Finance (2020)
  5. The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange
    Working Papers, University of Pretoria, Department of Economics

2019

  1. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
    Post-Print, HAL View citations (3)
    See also Journal Article in Journal of Multinational Financial Management (2019)
  2. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
    Post-Print, HAL View citations (1)
    See also Journal Article in International Economics (2019)

2018

  1. Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
    Post-Print, HAL View citations (11)
    See also Journal Article in International Review of Financial Analysis (2018)

2017

  1. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2019)
  2. OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2018)

2014

  1. Dynamic spillovers among major energy and cereal commodity prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (127)
    See also Journal Article in Energy Economics (2014)
  2. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate
    Working Papers, Economic Research Forum Downloads View citations (1)

2012

  1. Modelling and forecasting the volatility of petroleum futures prices
    EcoMod2012, EcoMod Downloads View citations (5)
    See also Journal Article in Energy Economics (2013)

2005

  1. Dynamical Minority Games in Futures Exchange Markets
    Papers, arXiv.org Downloads
  2. Dynamical Stochastic Processes of Returns in Financial Markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)
  3. Dynamical Structures of High-Frequency Financial Data
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2007)

2004

  1. Dynamical Volatilities for Yen-Dollar Exchange Rates
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2006)
  2. Herd Behaviors in Financial Markets
    Papers, arXiv.org Downloads View citations (3)
  3. Multifractal Measures for the Yen-Dollar Exchange Rate
    Papers, arXiv.org Downloads
  4. Phase Transition of Dynamical Herd Behaviors in Financial Markets
    Papers, arXiv.org Downloads View citations (1)
  5. Power Law Distributions for Stock Prices in Financial Markets
    Papers, arXiv.org Downloads
  6. Power Law Distributions in Korean Household Incomes
    Papers, arXiv.org Downloads View citations (4)
  7. Zipf's Law Distributions for Korean Stock Prices
    Papers, arXiv.org Downloads

2003

  1. Herd Behavior of Returns in the Futures Exchange Market
    Papers, arXiv.org Downloads
  2. Herd Behaviors in the Stock and Foreign Exchange Markets
    Papers, arXiv.org Downloads
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  3. Multifractal Features in the Foreign Exchange and Stock Markets
    Papers, arXiv.org Downloads
  4. Volatility and Returns in Korean Futures Exchange Markets
    Papers, arXiv.org Downloads

2002

  1. Dynamical Behavior of Continuous Tick Data in Futures Exchange Market
    Papers, arXiv.org Downloads View citations (5)

Journal Articles

2022

  1. Effect of Increasing Import Competition from China on the Local Labor Market: Evidence from Sweden
    Sustainability, 2022, 14, (5), 1-18 Downloads View citations (1)
  2. Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe
    International Journal of Finance & Economics, 2022, 27, (1), 678-696 Downloads
  3. Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada
    Review of International Economics, 2022, 30, (1), 1-33 Downloads
  4. The influence of oil, gold and stock market index on US equity sectors
    Applied Economics, 2022, 54, (6), 719-732 Downloads

2021

  1. Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach
    The North American Journal of Economics and Finance, 2021, 57, (C) Downloads
  2. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market
    Sustainability, 2021, 13, (14), 1-14 Downloads View citations (1)
  3. Financial instability and environmental degradation: a panel data investigation
    Applied Economics, 2021, 53, (54), 6319-6331 Downloads
  4. How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons
    The North American Journal of Economics and Finance, 2021, 58, (C) Downloads
  5. How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?
    The North American Journal of Economics and Finance, 2021, 58, (C) Downloads View citations (1)
  6. Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach
    International Journal of Finance & Economics, 2021, 26, (2), 2904-2926 Downloads
  7. Measuring Energy Poverty and Its Impact on Economic Growth in Pakistan
    Sustainability, 2021, 13, (19), 1-19 Downloads View citations (1)
  8. Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries
    Asia-Pacific Financial Markets, 2021, 28, (4), 613-647 Downloads
  9. Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices
    Energy Economics, 2021, 101, (C) Downloads View citations (4)
  10. OPEC news and jumps in the oil market
    Energy Economics, 2021, 96, (C) Downloads View citations (1)
    See also Working Paper (2020)
  11. Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes
    Resources Policy, 2021, 74, (C) Downloads
  12. Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor
    International Review of Financial Analysis, 2021, 74, (C) Downloads View citations (11)
  13. Spillovers and portfolio optimization of agricultural commodity and global equity markets
    Applied Economics, 2021, 53, (12), 1326-1341 Downloads View citations (1)
  14. Tail dependence risk and spillovers between oil and food prices
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 195-209 Downloads View citations (1)
  15. The Effect of Air Quality and Weather on the Chinese Stock: Evidence from Shenzhen Stock Exchange
    Sustainability, 2021, 13, (5), 1-20 Downloads

2020

  1. Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach
    Energies, 2020, 13, (9), 1-14 Downloads View citations (5)
  2. Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?
    The North American Journal of Economics and Finance, 2020, 51, (C) Downloads View citations (4)
    See also Working Paper (2020)
  3. Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach
    Sustainability, 2020, 12, (24), 1-16 Downloads
  4. Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach
    The North American Journal of Economics and Finance, 2020, 52, (C) Downloads View citations (3)
  5. Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
    Computational Economics, 2020, 56, (2), 529-545 Downloads View citations (4)
  6. Dynamic Spillover and Hedging among Carbon, Biofuel and Oil
    Energies, 2020, 13, (17), 1-19 Downloads View citations (4)
  7. Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis
    Energy Economics, 2020, 90, (C) Downloads View citations (32)
  8. Dynamic correlation and volatility spillovers across Chinese stock and commodity futures markets
    International Journal of Finance & Economics, 2020, 25, (2), 261-273 Downloads View citations (4)
  9. Exogenous shocks, dynamic correlations, and portfolio risk management for the Asian emerging and other global developed and emerging stock markets
    Applied Economics, 2020, 52, (43), 4745-4764 Downloads View citations (2)
  10. Impact of food price volatility on the US restaurant sector
    Applied Economics, 2020, 52, (39), 4250-4262 Downloads
  11. Inflation cycle synchronization in ASEAN countries
    Physica A: Statistical Mechanics and its Applications, 2020, 545, (C) Downloads View citations (1)
    See also Working Paper (2020)
  12. Investor Sentiment and Herding Behavior in the Korean Stock Market
    IJFS, 2020, 8, (2), 1-14 Downloads View citations (3)
  13. Regional and copula estimation effects on EU and US energy equity portfolios
    Applied Economics, 2020, 52, (49), 5311-5342 Downloads View citations (3)
  14. Relationship between International Reserves and FX Rate Movements
    Sustainability, 2020, 12, (17), 1-24 Downloads
  15. Spillovers and diversification potential of bank equity returns from developed and emerging America
    The North American Journal of Economics and Finance, 2020, 54, (C) Downloads View citations (9)
    See also Working Paper (2020)
  16. Why cryptocurrency markets are inefficient: The impact of liquidity and volatility
    The North American Journal of Economics and Finance, 2020, 52, (C) Downloads View citations (15)

2019

  1. Directional spillover effects between ASEAN and world stock markets
    Journal of Multinational Financial Management, 2019, 52-53 Downloads View citations (12)
  2. Do low gasoline prices cause more traffic fatalities in the 50 states of the USA? The importance of other factors
    Journal of Economic Studies, 2019, 46, (3), 777-795 Downloads
  3. Dynamic connectedness network in economic policy uncertainties
    Applied Economics Letters, 2019, 26, (1), 74-78 Downloads View citations (12)
  4. Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1
    Energy Economics, 2019, 84, (C) Downloads View citations (28)
  5. FDI, income, and environmental pollution in Latin America: Replication and extension using panel quantiles regression analysis
    Energy Economics, 2019, 84, (C) Downloads View citations (11)
  6. Financial crises and dynamic spillovers among Chinese stock and commodity futures markets
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) Downloads View citations (15)
  7. Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea
    Energy Economics, 2019, 78, (C), 668-679 Downloads View citations (21)
  8. Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis
    Finance Research Letters, 2019, 31, (C), 19-25 Downloads View citations (31)
  9. Network connectedness and net spillover between financial and commodity markets
    The North American Journal of Economics and Finance, 2019, 48, (C), 801-818 Downloads View citations (38)
  10. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Advances in Decision Sciences, 2019, 23, (4), 1-23 Downloads View citations (3)
    See also Working Paper (2017)
  11. The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns
    IJFS, 2019, 7, (4), 1-14 Downloads View citations (1)
  12. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories
    Journal of Multinational Financial Management, 2019, 52-53 Downloads View citations (3)
    See also Working Paper (2019)
  13. Time-frequency co-movements between the largest nonferrous metal futures markets
    Resources Policy, 2019, 61, (C), 393-398 Downloads View citations (5)
  14. What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach
    Economic Modelling, 2019, 77, (C), 204-215 Downloads View citations (5)
  15. Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies
    International Economics, 2019, 160, (C), 56-71 Downloads View citations (1)
    Also in International Economics, 2019, (160), 56-71 (2019) Downloads View citations (1)

    See also Working Paper (2019)

2018

  1. A wavelet analysis of co-movements in Asian gold markets
    Physica A: Statistical Mechanics and its Applications, 2018, 492, (C), 192-206 Downloads View citations (9)
  2. Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets
    Finance Research Letters, 2018, 27, (C), 228-234 Downloads View citations (82)
  3. Impact of oil price risk on sectoral equity markets: Implications on portfolio management
    Energy Economics, 2018, 72, (C), 120-134 Downloads View citations (30)
  4. Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets
    Physica A: Statistical Mechanics and its Applications, 2018, 503, (C), 1107-1116 Downloads View citations (6)
  5. Multi-scale causality and extreme tail inter-dependence among housing prices
    Economic Modelling, 2018, 70, (C), 301-309 Downloads View citations (3)
  6. OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach
    The North American Journal of Economics and Finance, 2018, 45, (C), 206-214 Downloads View citations (19)
    See also Working Paper (2017)
  7. Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China
    The World Economy, 2018, 41, (10), 2783-2803 Downloads View citations (4)
  8. Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
    International Review of Financial Analysis, 2018, 56, (C), 167-180 Downloads View citations (11)
    See also Working Paper (2018)

2017

  1. A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 182-192 Downloads View citations (25)
  2. Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes
    Applied Economics, 2017, 49, (25), 2456-2479 Downloads View citations (10)
  3. Are exchange rates interdependent? Evidence using wavelet analysis
    Applied Economics, 2017, 49, (33), 3231-3245 Downloads View citations (6)
  4. Cross-country determinants of economic policy uncertainty spillovers
    Economics Letters, 2017, 156, (C), 179-183 Downloads View citations (55)
  5. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
    Energy Economics, 2017, 62, (C), 19-32 Downloads View citations (171)
  6. Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis
    Physica A: Statistical Mechanics and its Applications, 2017, 471, (C), 135-146 Downloads View citations (29)
  7. Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching
    Applied Economics, 2017, 49, (13), 1255-1272 Downloads View citations (12)

2016

  1. Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models
    Review of International Economics, 2016, 24, (1), 1-19 Downloads View citations (29)
  2. Dynamic spillovers between Shanghai and London nonferrous metal futures markets
    Finance Research Letters, 2016, 19, (C), 181-188 Downloads View citations (14)
  3. Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets
    Emerging Markets Finance and Trade, 2016, 52, (7), 1698-1723 Downloads View citations (28)

2015

  1. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate
    Energy Economics, 2015, 48, (C), 46-60 Downloads View citations (45)

2014

  1. Dynamic spillovers among major energy and cereal commodity prices
    Energy Economics, 2014, 43, (C), 225-243 Downloads View citations (128)
    See also Working Paper (2014)
  2. How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process
    Energy Economics, 2014, 42, (C), 343-354 Downloads View citations (60)
  3. Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements
    International Review of Economics & Finance, 2014, 30, (C), 101-119 Downloads View citations (28)

2013

  1. Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (8), 1795-1802 Downloads View citations (21)
  2. Modeling and forecasting the volatility of petroleum futures prices
    Energy Economics, 2013, 36, (C), 354-362 Downloads View citations (61)
    See also Working Paper (2012)

2012

  1. Can We Predict Exchange Rate Movements at Short Horizons?
    Journal of Forecasting, 2012, 31, (7), 565-579 View citations (2)

2011

  1. Changes of firm size distribution: The case of Korea
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (2), 319-327 Downloads View citations (7)
  2. Monotone strong increases in risk and their comparative statics
    International Journal of Economic Theory, 2011, 7, (3), 269-281 Downloads View citations (1)
  3. Structural changes and volatility transmission in crude oil markets
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4317-4324 Downloads View citations (45)
  4. The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
    East Asian Economic Review, 2011, 15, (4), 49-72 Downloads View citations (5)

2010

  1. Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4844-4854 Downloads View citations (5)
  2. Long memory volatility in Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (7), 1425-1433 Downloads View citations (33)
  3. Sudden Changes and Persistence in Volatility of Korean Equity Sector Returns
    Korean Economic Review, 2010, 26, 431-451 Downloads
  4. Weather effects on the returns and volatility of the Shanghai stock market
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (1), 91-99 Downloads View citations (18)

2009

  1. FORECASTING LONG-MEMORY VOLATILITY OF THE AUSTRALIAN FUTURES MARKET
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 763-770 Downloads
  2. Forecasting volatility of crude oil markets
    Energy Economics, 2009, 31, (1), 119-125 Downloads View citations (194)
  3. Modeling and Forecasting the Volatility of Eastern European Emerging Markets
    East Asian Economic Review, 2009, 13, (1), 113-132 Downloads
  4. Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (17), 3543-3550 Downloads View citations (23)
  5. VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 771-777 Downloads
  6. VOLATILITY DYNAMICS OF EURO–DOLLAR FOREIGN EXCHANGE MARKET
    Theoretical and Applied Economics, 2009, 12(541)(supplement), (12(541)(supplement)), 756-762 Downloads
  7. Value-at-Risk Analysis for Asian Emerging Markets: Asymmetry and Fat Tails in Returns Innovation
    Korean Economic Review, 2009, 25, 387-411 Downloads View citations (1)
  8. Weather effects on returns: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (5), 682-690 Downloads View citations (22)

2008

  1. Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market
    Korean Economic Review, 2008, 24, 383-412 Downloads View citations (4)
  2. Long memory features in the high frequency data of the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (21), 5189-5196 Downloads View citations (25)

2007

  1. A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets
    East Asian Economic Review, 2007, 11, (1), 211-240 Downloads View citations (1)
  2. Dynamical stochastic processes of returns in financial markets
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 517-524 Downloads
    See also Working Paper (2005)
  3. Dynamical structures of high-frequency financial data
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 525-531 Downloads View citations (1)
    See also Working Paper (2005)
  4. Long memory properties in return and volatility: Evidence from the Korean stock market
    Physica A: Statistical Mechanics and its Applications, 2007, 385, (2), 591-600 Downloads View citations (35)

2006

  1. Dynamical volatilities for yen–dollar exchange rates
    Physica A: Statistical Mechanics and its Applications, 2006, 359, (C), 569-575 Downloads View citations (6)
    See also Working Paper (2004)
  2. Phase transition of dynamical herd behaviors for Yen–Dollar exchange rates
    Physica A: Statistical Mechanics and its Applications, 2006, 359, (C), 563-568 Downloads View citations (1)

2004

  1. Dynamics of the minority game for patients
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 30-35 Downloads
  2. Herd behaviors in the stock and foreign exchange markets
    Physica A: Statistical Mechanics and its Applications, 2004, 341, (C), 526-532 Downloads View citations (6)
    See also Working Paper (2003)
  3. Multifractal features of financial markets
    Physica A: Statistical Mechanics and its Applications, 2004, 344, (1), 272-278 Downloads View citations (24)
 
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