증권시장의 위험에 대한 통계적 측정방법에 관하여

Abstract

This paper has examined, which statistical variable can be used to estimate the investment risk. For that, the variance, the difference between highest and lowest value, and the lowest value can be used. Variance and the difference between highest and lowest value have a robust theoretical basis. But, in the empirical analysis, the lowest value has the better result. The empirical analysis shows: First, the variance and the lowest value have no effect on the stock prices in the most of case. Second, Only in a few cases, the risk has an effect on the prices. In this case, the significant level of the lowest value is higher than that of variance. The results, which come out from the macro analysis, say: First, the variance and the lowest value can not be used as a statistical variable for the investment risk. Second, the index of business cycle and the index of dishonored bonds can be used as a statistical variable. In the econometric analysis, the index of dishonored bonds has the higher significant level. third, there was a structure change in 1995-6. The rate of dishonored bonds has an effect on the demand of stocks. On the case of Bonds, the empirical result is similar to the case of macro analysis on stocks. According to the analysis of this paper, there was a structure change in 1995-6 and the rate of dishonored bonds has an effect on the demand of stocks. Therefore, the rate of dishonored bonds can be used as a statistical variable for the investment risk.