Characteristics of the Korean stock market correlations

In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When the MSCI (Morgan Stanley Capital International Inc.) index is exploited, we found that the clusters of the Korean stock market is formed. This finding implicates that the Korean market, in this context, is characteristically different form the mature markets.Comment: 11 pages, 3 figures, revised on June 200

Temporal evolution of the return distribution in the Korean stock market

We study the temporal evolution of the return distribution of the Korean Composite Stock Price Index (KOSPI) for the period from 1995 to 2003. The high-frequency return distribution of the KOSPI has become narrower to an exponential and finally to a Gaussian since 2000 without increasing the return interval. This crossover behavior shows that the time scale of the Korean stock market has decreased significantly since the Asian financial crisis in 1997. We. have applied the Heston model with stochastic volatility to describe the exponential-to-Gaussian crossover.X119sciescopuskc

Microscopic spin model for the dynamics of the return distribution of the Korean stock market index

In this paper, we Studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, We found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market. (c) 2006 Elsevier B.V. All rights reserved.X112930sciescopu

Characteristics of the Korean stock market correlations

In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When the MSCI (Morgan Stanley Capital International Inc.) index is exploited, we found that the clusters of the Korean stock market is formed. This finding implicates that the Korean market, in this context, is characteristically different form the mature markets.

Dynamics of the return distribution in the Korean financial market

In this paper, we studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, we found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market.

Grouping in the stock markets of Japan and Korea

We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and found a common trend of decrease for Japan and Korea. This phenomenon supports the increasing external effects on the markets due to the globalization of both countries. At last the Korean market are grouped with the MSCI Korea Index, a good reference for foreigners' trading, in the early 2000s \cite{Jung2006}. In the Japanese market, this tendency is strengthened more and more by burst of the bubble in 1990's.