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證券危險과 業種指數의 相關性에 관한 硏究 : 綜合建設業과 銀行業을 中心으로
呂東吉,金相午 啓明大學校 産業經營硏究所 1990 經營經濟 Vol.23 No.1
According to theoretical structure of CAPM, β is an ex-ante concept, but in actual application is ex-post concept in market model. Such β serves as an evaluation factor which determines investment. This shows that CAPM is directly associated with β which represents a systematic risk of firm. The purpose of this study to survey significant of systematic risk that represents Betas coefficient to actual application of CAPM and its theoretical background of investment determination. The study also aims at helping correlation of activity of stock price and new index development which empirically analyzes validity of these theories in korea stock market. This study is based on the period from July 1987 to September 1989 and the Bank Industry & Construction Industry as analytical objects. The analysis was conducted by the survey period of a week, two weeks, a month, and a year respectively. β is computed by the unit of a week and a month respectively. To compute systematic risk, unsystematic risk, and total risk by the survey period, programming was done in BASIC language and analyzed by charts to compare with Industrial Index. The empirical results of this study are summarized as follows. 1. In analysis object industries, the more estimated period(a week, two weeks) has short was non-stationary and the more estimated period(year) has long was stationary when β is computed with different estimated period. 2. In comparison with β and Industrial Index, there was no0 significant association with industrial index since the more estimated period has short, β is non-stationary, and there was a significant association with industrial index in case of the monthly estimated period. Therefore it was showed that monthly, dayly β is a significant association with industrial index. 3. There was a relative significant association with total risk and industrial index to which in case of the weekly total risk has been resembled to changes of industrial index, in case of the monthly total risk has been founded that arrange of the change was large in increasing aspects. 4. Moving average of total risk and Industrial Index has been relatively high significant association and moving average of monthly total risk has been as useful index of judgement of top area. In case of a week, two weeks & monthly total risk is increasing, it could be judge to purchase time. 5.Contribution of systematic risk was very high degree in total risk and it was not significant difference in changes of ratio by estimated period. Also, while total risk and systematic risk was increased fastly with same shape in increasing aspects, unsystematic risk was increased slowly and all risk were generally decreased but unsystematic risk was increased or three types of risk was mixed in decreasing aspects. As mentioned above, since β and the various risk index derived form empirical results has required more complicate theoretical calculation process in comparison to previous other index, runtime of the computer was long. Also, the limitation of this study is that could not explain to Korean stock market as a whole for reason of the lack of analytical object industry and analytical period. To supplement the limitation, it should be collected full time-series data and analyzed all industries and firms in Korean stock market. Addition to, it should be done efficiency evaluation as new index which as analyzing to interactive supplementation of previous technical index and problems.