응용통계연구 (The Korean Journal of Applied Statistics)

  • 제27권5호
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  • Pages.797-808
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  • 2014
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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기업지배구조별 주가변동체계 간 통계적 연관성

Statistical Interrelationships Among Variations in Stock Price System by Corporate Governance

  • 김태호 (충북대학교 정보통계학과) ;
  • 김민정 (충북대학교 정보통계학과) ;
  • 이승은 (충북대학교 정보통계학과)
  • Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University) ;
  • Kim, Min-Jeong (Department of Information Statistics, Chungbuk National University) ;
  • Lee, Seung-Eun (Department of Information Statistics, Chungbuk National University)
  • 투고 : 2014.08.18
  • 심사 : 2014.10.02
  • 발행 : 2014.10.31
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초록

건전성과 신뢰성이 높은 기업에 선별 투자가 이루어지면 이는 기업의 가치 상승으로 이어지므로 상위 등급의 기업 가치 변동 간 상관성 및 동적 특성에 대한 연구의 필요성이 증대하게 되었다. 본 연구에서는 증권거래소 분류 기업지배구조 등급별 주식수익의 중장기 변동성향을 분석하기 위한 연립방정식 통계모형을 설정하였다. 외생적 충격에 의해 등급별 주식수익에 일어난 변화는 시간이 흐르면서 완만히 조정되어 가는 구조적 특징을 공통적으로 가지고 있으며, 변동 과정이나 성향도 등급 간에 별다른 차이가 없는 것으로 판명되었다.

It is increasingly interested in investigating the relationships and the dynamic characteristics of variations among high class corporate values. This study formulates a statistical model of simultaneous equation system to examine the relationships among variations of stock returns for each class of corporate governance structure and to analyze the dynamic patterns of their long-run adjustment processes. Changes in stock returns for each class of corporate governance by an exogenous shock are found to have common structural features of slow adjustments to the long-run equilibriums.

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