Abstract
The objective of the study is to examine the structural characteristics of Hanwoo price volatility. GJR-GARCH is employed to analyze the asymmetric price volatility in response to good and bad news. And two competing hypotheses, mixed distribution hypotheses (MDH) and sequential information arrival hypothesis (SIAH), are utilized to test how information dissemination affects price volatility through trading volume. The results reveal that calendar effects exist in both the volatility and the rate of change in Hanwoo price. In particular, after the implementation of a five-day week, a decreasing rate of price is higher on Monday than on any other days of the week and Tuesday shows the highest price increasing rate. And also unlike the financial market, Hanwoo price exhibits a reverse leverage phenomenon in which price volatility decreases when bad news occurs. This asymmetry rapidly reduces the effect of short-term shock, but the shock persists for a long time.
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