This thesis investigates aggregate individual stock volatility and idiosyncratic risk in Korea stock market using Campbell et al(2001). decomposing method and Santa-Clara et al.(2003) return expecting method. Over the period from 1984 to 2003 there has been no noticeable increase in firm-level volatility, industry-level volatility and market volatility. But it’s very useful to divide aggregate firm volatility into three level volatilities. At the end of 2003 more than 60% of the total firm volatility is explained by the firm-level volatility. As there is no increase in firm level volatility, it’s insignificant to forecast stock return by firm level volatility but market level volatility can explain market return in Korea Stock Market.
이 논문은 개별기업의 총변동성과 개별기업고유변동성을 캠벨(2001)의 방법론과 산타클라라(2002)의 논문 방법론을 활용하여 한국주식시장에 대하여 연구한 것이다. 미국시장과 달리 한국시장에서는 개별기업고유변동성의 큰 변화가' 없었고, 개별기업고유변동성을 이용한 시장수익률의 예측에 있어서, 개별기업고유변동성보다는 오히려 시장전체의 변동성이 시장수익률을 예측할 수 있었다.