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Characteristics of the Korean stock market correlations SCIE SCOPUS
- Title
- Characteristics of the Korean stock market correlations
- Authors
- Jung, WS; Seungbyung Chae; Jae-Suk Yang; Hie-Tae Moon
- Date Issued
- 2006-02-15
- Publisher
- Elsevier
- Abstract
- 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.
- Keywords
- correlation-based clustering; emerging market; minimum spanning tree; econophysics; NETWORKS; INTERNET
- ISSN
- 0378-4371
- Article Type
- Article
- Citation
- PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol. 361, no. 1, page. 263 - 271, 2006-02-15
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Related Researcher
- 정우성JUNG, WOO SUNG
- Dept of Industrial & Management Enginrg