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Proceedings Paper

Analysis in correlation for the Korean stock market
Author(s): Woo-Sung Jung; Seungbyung Chae; Jae-Suk Yang; Okyu Kwon; Hie-Tae Moon
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Paper Abstract

The correlation between stock price changes is useful information. Through the correlation matrix, we construct a portfolio with its minimum spanning tree. We make the minimum spanning tree of the Korean stock market, a representative emerging market, which is different from that of the mature market. It is due to the emerging market's less abundant liquidity than the mature market. And we find the distribution of the correlation coefficient is different for several periods. As the market is developing, many changes from inside and outside the market occurs, and several parameters of the stock market network are changed. The Korean stock market is under an evolution.

Paper Details

Date Published: 23 May 2005
PDF: 9 pages
Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); doi: 10.1117/12.609389
Show Author Affiliations
Woo-Sung Jung, Korea Advanced Institute of Science and Technology (South Korea)
Seungbyung Chae, Korea Advanced Institute of Science and Technology (South Korea)
Jae-Suk Yang, Korea Advanced Institute of Science and Technology (South Korea)
Okyu Kwon, Korea Advanced Institute of Science and Technology (South Korea)
Hie-Tae Moon, Korea Advanced Institute of Science and Technology (South Korea)


Published in SPIE Proceedings Vol. 5848:
Noise and Fluctuations in Econophysics and Finance
Derek Abbott; Jean-Philippe Bouchaud; Xavier Gabaix; Joseph L. McCauley, Editor(s)

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