کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
502388 863701 2011 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Information of group-correlations in Korean financial market
موضوعات مرتبط
مهندسی و علوم پایه شیمی شیمی تئوریک و عملی
پیش نمایش صفحه اول مقاله
Information of group-correlations in Korean financial market
چکیده انگلیسی

We study two sides of the KOSPI, classified as an emerging market. First, the evolutionary property is examined in terms of overlapping matrix and survival ratios. To this end, we apply the random matrix theory (RMT) and the one-factor model to analyzing correlation matrix and finding business clusters. Second, we examine the relations between the market capitalization and the business. For the well-developed markets such as NYSE, the contribution of the firms to the second-largest eigenvector shows an exponential function of the market capitalizations while no clue is observed for the KOSPI. We confirm that the market capitalization is distributed in a power-law with the exponent 1.2 like a Pareto's distribution. Particulary, the KOSPI shows a different behavior compared to the mature market, that is, one or two companies lead a number of companies with the little money and big companies competed to win each other. The clusters also represent by largest eigenstates show a weak affiliation compared to smaller ones. These results imply that the KOSPI is the target for the short-positioned investors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computer Physics Communications - Volume 182, Issue 1, January 2011, Pages 219–222
نویسندگان
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