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논문 기본 정보

자료유형
학술저널
저자정보
저널정보
한국유통과학회 유통과학연구 유통과학연구 제14권 제1호
발행연도
2016.1
수록면
93 - 102 (10page)

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Purpose – The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology – Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results – If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions – Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.
#Long-Term Memory Process #Level Shift #GPH.

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참고문헌 (33)

참고문헌 신청
Agiakloglou, C. / 1992 / Bias in an Estimator of the Fractional Difference Parameter / Journal of Time Series Analysis 14:235~246 google schola Banerjee, A. / 2004 / Modeling Structural Breaks, Long Memory and Stock Market Volatility : An Overview / Journal of Econometrics 129:1~34 google schola Barkoulas, J. T. / 2000 / Long Memory in the Greek Stock Market / Applied Financial Economics 10(2):177~184 google schola Beran, J. / 1994 / Statistics for Long Memory Processes / Chapman and Hall google schola Beran, J. / 1994 / On a Class of M-estimators for Gaussian Long Memory Models / Biometrika 81:755~766 google schola

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