Analysis in correlation for the Korean stock market

Woo-Sung Jung; Seungbyung Chae; Jae-Suk Yang; Okyu Kwon; Hie-Tae Moon

doi:10.1117/12.609389

23 May 2005 Analysis in correlation for the Korean stock market

Woo-Sung Jung, Seungbyung Chae, Jae-Suk Yang, Okyu Kwon, Hie-Tae Moon

Proceedings Volume 5848, Noise and Fluctuations in Econophysics and Finance; (2005) https://doi.org/10.1117/12.609389
Event: SPIE Third International Symposium on Fluctuations and Noise, 2005, Austin, Texas, United States

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.

Citation Download Citation

Woo-Sung Jung, Seungbyung Chae, Jae-Suk Yang, Okyu Kwon, and Hie-Tae Moon "Analysis in correlation for the Korean stock market", Proc. SPIE 5848, Noise and Fluctuations in Econophysics and Finance, (23 May 2005); https://doi.org/10.1117/12.609389

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