Goodness of Fit and Independence Tests for Major 8 Companies of Korean Stock Market

Title & Authors
Goodness of Fit and Independence Tests for Major 8 Companies of Korean Stock Market
Min, Seungsik;

Abstract
In this paper, we investigated the major 8 companies of Korean stock market, and carried out the goodness of fit and independence tests. We found out the distributions of absolute returns are closed to compressed exponential distribution. The parameters are dominant that 1 < $\small{{\beta}}$ < 2, followed by $\small{{\beta}=1}$(exponential distribution) and $\small{{\beta}=2}$(normal distribution). Meanwhile, we assured that most of the absolute returns for major 8 companies have relevance to each other by chi-square independence test.
Keywords
distribution;absolute return;goodness of fit test;independence test;compressed exponential distribution;
Language
Korean
Cited by
References
1.
Fama, E. F. (1965). The behavior of stock market prices, The Journal of Business, 38, 34-105.

2.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25, 383-417.

3.
Hayter, A. (2007). Probability and Statistics for Engineers and Scientists, 4th edition, Thomson Brooks/Cole, Belmont.

4.
Hong, B. H., Lee, K. E. and Lee, J. W. (2007). Power law of quiet time distribution in the Korean stockmarket, Physica A, 377, 576-582.

5.
Kaizoji, T. and Kaizoji, M. (2003). Empirical laws of a stock price index and a stochastic model, Advances in Complex Systems, 6, 1-10.

6.
Kim, S. H. (1998). Comparison of methodologies for constructing composite indexes, Journal of The Korean Official Statistics, 3, 21-60.

7.
Korotayev, A. V. and Tsirel, S. V. (2010). A Spectral Analysis of World GDP Dynamics: Kondratieff Waves, Kuznets Swings, Juglar and Kitchin Cycles in Global Economic Development, and the 2008-2009 Economic Crisis, Structure and Dynamics, 4, 3-57

8.
Laherrere, J. and Sornette, D. (1999). Stretched exponential distributions in nature and economy: Fat tails with characteristic scales, European Physical Journal B, 2, 525-539.

9.
McCauley, J. L. (2004). Dynamics of Markets: Econophysics and Finance, Cambridge University Press.

10.
Min, S. S. (2009). Forecasting of KOSPI market trend using price and transaction volume (Master's thesis), KAIST.

11.
Niederhoffer, V. and Osborne, M. F. M. (1966). Market making and reversal on the stock exchange, Journal of the American Statistical Association, 61, 897-916.

12.
Panas, E. and Ninni, V. (2010). The distribution of London metal exchange prices: A test of the fractal market hypothesis, European Research Studies, 8, 193-210.

13.
Roussas, G. G. (1997). A Course in Mathematical Statistics, 2nd edition, Academic Press, Chestnut Hill, MA.

14.
Working, H. (1960). Note on the correlation of first differences of averages in a random chain, Econometrica, 28, 916-918.