Relationship between KOSPI and KOSPI 200 using Time Series Regression Model

• 발행기관: 한국자료분석학회
• 저자명: 김다홍(Dahong Kim) 손건태(Keon Tae Sohn)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.18 No.3, 1191~1198쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2016.06.30

영문 초록

The aim of the current study was to examine whether KOSPI 200 represents KOSPI stably. For the present study, we used daily data of KOSPI and KOSPI 200 for a period of 10 years (from June 2005 to June 2015). To check temporal change in relationship between two indices, whole period was divided into ten one-year blocks. Annual stability was checked based on time series regression analysis including cointegration test, autocorrelation test and ARCH test. The applied model consists of simple linear regression model, autoregressive error process and generalized autoregressive conditional heteroscedasticity as error variance models. As a result, the estimated coefficient of KOSPI 200 is decreasing over time. It means that market capitalization ratio changes over time. An error variance model is significant only in early periods because market volatility is large in the economic crisis period and it becomes gradually stable over time.

목차

1. Introduction

2. Data and Methodology

3. Modeling and Results

4. Conclusion

References

키워드

KOSPI KOSPI 200 time series regression model GARCH