Characteristics of the Korean stock market correlations

被引：90

作者：

Jung, WS ^{[1
]}

Chae, S ^{[1
]}

Yang, JS ^{[1
]}

Moon, HT ^{[1
]}

机构：

[1] Korea Adv Inst Sci & Technol, Dept Phys, Taejon 305701, South Korea

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2006年 / 361卷 / 01期

关键词：

correlation-based clustering; emerging market; minimum spanning tree; econophysics;

D O I：

10.1016/j.physa.2005.06.081

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We establish in this study a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Based on this analysis, it is found that the Korean stock market does not form the clusters of the business sectors or of the industry categories. When the MSCI (Morgan Stanley Capital International Inc.) index is exploited, we find that the Clusters of the Korean stock market is formed. This finding implicates that the Korean market, in this context, is characteristically different from the mature markets. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：263 / 271

页数：9

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