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http://dx.doi.org/10.5351/KJAS.2014.27.5.797

Statistical Interrelationships Among Variations in Stock Price System by Corporate Governance  

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)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.5, 2014 , pp. 797-808 More about this Journal
Abstract
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.
Keywords
Corporate governance; eigen value; simultaneous equations;
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