Microscopic spin model for the dynamics of the return distribution of the Korean stock market index

被引：30

作者：

Yang, JS ^{[1
]}

Chae, S ^{[1
]}

Jung, WS ^{[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 / 363卷 / 02期

关键词：

econophysics; emerging market; log return; power-law distribution; exponential distribution;

D O I：

10.1016/j.physa.2005.12.039

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we Studied the dynamics of the log-return distribution of the Korean Composition Stock Price Index (KOSPI) from 1992 to 2004. Based on the microscopic spin model, We found that while the index during the late 1990s showed a power-law distribution, the distribution in the early 2000s was exponential. This change in distribution shape was caused by the duration and velocity, among other parameters, of the information that flowed into the market. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：377 / 382

页数：6

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