비대칭적 去來量-株價變動 관계에 관한 硏究 = A Study on the Asymmetric Trading Volume-Stock Price Change Relation

다국어 초록 (Multilingual Abstract)

In this empirical study on the asymmetric TV - ｜Δ SPI｜ relation between groups of positive, negative and whole price changes. the relation was tested by the methods of Pearson's correlation analysis, regression coefficient analysis and dummy regression analysis during the periods of Ⅰ, Ⅱ, Ⅲ and whole, when the Korea Composite Stock Price Index(KOSPI) had shown an ascending trend at the period of Ⅰ, Ⅱ, and a decling trend at period Ⅲ. Results are as follows:
(1) Results by Pearson's correlation analysis and regression coefficient analysis
The asymmetric TV - ｜ΔSPI｜ relation was verified, in almost all cases, to be as follows:
① R[TV vs ｜(ΔSPI｜_ΔSPI > 0)｜] > R[TV vs ｜ΔSPI｜] > R[TV vs ｜ΔSPI｜_ΔSPI < 0)｜]
② β[｜(ΔSPI｜_ΔSPI > 0)｜] > β[｜ΔSPI｜] > β[｜(ΔSPI｜_ΔSPI < 0)｜]
where R is a correlation coefficient between TV and ｜ΔSPI｜
β is a regression coefficient of ｜ΔSPI｜ on dependent variable(TV)
Especially, only during the period Ⅲ, the result was slightly different from the above :
③ β[｜(ΔSPI｜] > β[｜(ΔSPI｜_ΔSPI > 0)｜] > β[｜(ΔSPI｜_ΔSPI < 0)｜]
(2) Results by dummy regression analysis
During the period I when the KOSPI had shown an ascending trend. TV- ｜ΔSPI｜ relation was verified to be the same as above ②. But, during the other periods of Ⅱ, Ⅲ, and whole, asymmetric TV - ｜ΔSPI｜ relation was not clear statistically.

목차 (Table of Contents)

• Ⅰ. 序 論
• Ⅱ. 비대칭적 法來量-株價變動 관계에 관한 연구
• Ⅲ. 우리나라 證券市場에서의 실증적 연구
• Ⅳ. 검증결과
• Ⅴ. 結 論
• 謝 言
• 參考文獻
• 附 錄