Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
권호 표지

확률행렬이론을 이용한 한국주식시장의 상관행렬 분석

A Random Matrix Theory approach to correlation matrix in Korea Stock Market

  • 투고 : 2011.03.25
  • 심사 : 2011.07.08
  • 발행 : 2011.08.01
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⟨ 이전 논문 다음 논문 ⟩

초록

주식수익률간의 상관행렬 분석을 통해 유의미한 정보를 추출 활용하는 것은 주식시장을 이해하는데 매우 중요하다. 최근 확률행렬이론을 이용 상관행렬을 분석하는 연구들이 많이 진행되어 왔는데, 본 논문에서는 단일 요인 모형을 확률행렬이론에 적용 한국주식시장에서 주식수익률간의 상관행렬에 관한 유의미한 정보를 추출하였다. 특히 단일 요인을 도입 상관행렬을 분석한 결과가 실제 데이터를 잘 설명함을 관찰하였고, 단일 요인 모형의 유용성을 확인하였다.

To understand the stock market structure it is very important to extract meaningful information by analyzing the correlation matrix between stock returns. Recently there has been many studies on the correlation matrix using the Random Matrix Theory. In this paper we adopt this random matrix methodology to a single-factor model and we obtain meaningful information on the correlation matrix. In particular we observe the analysis of the correlation matrix using the single-factor model explains the real market data and as a result we confirm the usefulness of the single-factor model.

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참고문헌

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