동북아 주식시장에서의 장기기억에 관한 연구

An Empirical Study on the Long-Term Memory Effect of Stock Market in Northeast Asia

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.