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우리나라 주가에는 펀더멘털과 무관한 비정상 추세가 존재하는가?: 공적분 및 베버리지-넬슨 분해 접근

Is There a Stochastic Non-fundamental Trend in Korean Stock Price?: Inference under Transformed Error Correction Model

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Abstract

In this paper, we test and estimate the stochastic non-fundamental trend in Korean stock market. For this, following Kim (2011), we exploit that the long-run equilibrium stock price may be decomposed into fundamental and stochastic non-fundamental trends

Issue Date
2013-05-31
Publisher
한국개발연구원
Korea Development Institute
Language
ko
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