동북아 주식시장에서의 장기기억에 관한 연구
An Empirical Study on the Long-Term Memory Effect of Stock Market in Northeast Asia
- 한국동북아경제학회
- 동북아경제연구
- 東北亞經濟硏究 第16卷 第1號
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2004.0437 - 72 (36 pages)
- 27
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.
Ⅰ. 서론
Ⅱ. 장기기억효과 검정에 대한 이론적 고찰
Ⅲ. 실증분석
Ⅳ. 결론 및 요약
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