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INTERACTIONS OF STOCK MARKETS WITHIN THE GREATER CHINA ECONOMIC BLOC
Bahng, Seung-Wook,Shin, Seung-Myo 연세대학교 동서문제연구원 2004 Global economic review Vol.33 No.3
This paper investigates what types of mutual relationships exist among the stock markets of the Greater China economic bloc, which include stock markets in Hong Kong and Taiwan, as well as stock markets in Shanghai and Shenzhen. Using the unit root test, co-integration analysis, and vector error correction model (VECM), this paper analyzes interrelationships among daily stock indices for the period from the beginning of 1992 to the end of 2001. Test results indicate the existence of one co-integrating vector, implying that a long-run equilibrium relationship holds among the four stock indices. Variance decomposition of forecast errors provides evidence that the Shenzhen stock market is the market most heavily influenced by the unexpected variations of other markets in the Greater China economic bloc.
주가수익률의 안정 파레토 분포 적용과 무한분산 탐색에 관한 연구
방승욱(Seung Wook Bahng) 한국경영학회 1997 經營學硏究 Vol.26 No.1
This paper focuses on an application of stable Paretian distribution to Korea`s stock returns. One motive for this paper is that previous research on the stable Paretian distributions is seldom found in the financial literature of Korea. This paper also investigates the possibility of infinite variance of stock returns. Weekly returns of fifty randomly selected stocks are used as a data base, and the stability under addition test and a new technique for infinite variance are conducted. Statistical investigation into the hypothesis of infinite variance rejected the hypothesis of the infinite variance.
방승욱(Seung Wook Bahng) 한국경영학회 1996 經營學硏究 Vol.25 No.2
As a modification of Morck, Shleifer, Vishny(1988), this research writing focuses on how ownership structure of Korean firms affects market valuation. In dealing with the research topic, this article introduces the concept of switching regression, and derives a special form with unknown changing points, thus differentiating itself from the referenced articles of identical research category. The analytical derivation is empirically applied, by using RATS program, to the relationship between ownership structure and market valuation in order to test both the convergence of interest hypothesis and the entrenchment hypothesis. Specifically speaking, the hypotheses include whether the linear relationship of the two variables differs at some intervals of ownership site, whether affiliation of firms affects relationship pattern of the variables and whether the linear relationship differs from year to year. The produced results indicate some evidences inconsistent with those of previous studies.
방승욱(Seung Wook Bahng) 한국경영학회 1999 經營學硏究 Vol.28 No.1
This study investigates whether national differences in capital structure have converged. In order to analyze converging trend, the paper selected the capital structures of major OECD countries during the past 20 years as a data base. A graphical review indicated converging evidence in the national debt ratios over the years. Motivated by this evidence, this research then attempted to confirm the hypothesis of convergence using econometric models. The empirical analysis showed that the capital structure of Japan converged toward the global trend. Depending on the samples taken and the debt ratios defined. conflicting results were obtained as to β- and σ- convergence hypotheses.