동북아 주식시장에서의 장기기억에 관한 연구

• 영문명: An Empirical Study on the Long-Term Memory Effect of Stock Market in Northeast Asia
• 발행기관: 한국동북아경제학회
• 저자명: 김지열(Ji Yeol Kim)
• 간행물 정보: 『동북아경제연구』東北亞經濟硏究 第16卷 第1號, 37~72쪽, 전체 36쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2004.04.30

영문 초록

The Studies until now are concluding that stock price in stock market follows random walk process by rational expectation hypothesis and efficient market hypothesis developing a lot of probability models. However, random walk process in stock market has a lot of questions actually. The main objective of this thesis is to test existence of the long-term memory effect of stock markets in Northeast Asia. The modified R/S analysis, V-statistic, and ARFIAM(fractionally integrated ARMA) used to examine this utility function. In conclusions, this thesis shows existence of the long-term memory effect of stock markets in Northeast Asia.

목차

Ⅰ. 서론

Ⅱ. 장기기억효과 검정에 대한 이론적 고찰

Ⅲ. 실증분석

Ⅳ. 결론 및 요약

키워드

동북아 경제권 주식시장 수정 R/S분석 V-통계량 분수적분 ARMA 모형 장기기억 stock markets in Northeast Asia modified R/S analysis V-statistic ARFIAM(fractionally integrated ARMA) long-term memory