• The Korean Journal of Applied Statistics
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• v.37 no.6
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• pp.817-834
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• 2024

Energy industry is an essential factor not only in the lives of individuals but also in the national development of all fields. This paper aims to study the independence test and distribution of log returns for top 6 energy companies in KOSPI. A cross-analysis on combinations of the six energy companies is conducted for the independence test. The return distributions are explored by adopting compressed exponential distribution function, which is a role of bridge between the normal and exponential distributions. Optimal compressed parameters of the return distributions are determined by minimizing the mean square difference between the empirical density function and compressed exponential function. To access a refinement of the distribution, asymmetry or skewness are tested via the Wilcoxon signed rank test, and the asymmetric compressed exponential distributions are inferred on two sides of negative and nonnegative returns, respectively. The results of this work can help to provide an explicit analysis along with probabilistic information about the returns.