The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Goodness of Fit and Independence Tests for Major 8 Companies of Korean Stock Market

한국 주식시장 상위 8개사에 대한 적합도 검정 및 독립성 검정

  • Min, Seungsik (Department of Natural Science, Korea Naval Academy)
  • Received : 2015.11.09
  • Accepted : 2015.12.24
  • Published : 2015.12.31
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Abstract

In this paper, we investigated the major 8 companies of Korean stock market, and carried out the goodness of fit and independence tests. We found out the distributions of absolute returns are closed to compressed exponential distribution. The parameters are dominant that 1 < ${\beta}$ < 2, followed by ${\beta}=1$(exponential distribution) and ${\beta}=2$(normal distribution). Meanwhile, we assured that most of the absolute returns for major 8 companies have relevance to each other by chi-square independence test.

본 논문에서는 한국 유가증권시장의 시가총액 상위 8개사 주가 수익률 절대값(absolute return)을 이용하여, 분포의 적합도 검정(goodness of fit test) 및 기업들 간의 독립성 검정(independence test)을 실시하였다. 검정 결과 개별 주가 수익률은 압축된 지수분포(compressed exponential distribution)를 이루는 것으로 나타났다. 이 때 파라미터는 1 < ${\beta}$ < 2 인 경우가 ${\beta}=1$(지수분포), ${\beta}=2$(정규분포)보다 우세한 것으로 확인되었다. 한편 독립성 검정에서는 대부분의 기업들이 관련성을 지니고 있는 것으로 나타났다.

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