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Zipf's Law Distributions for Korean Stock Prices

Kyungsik Kim·S. -M. Yoon·C. Christopher Lee·K. H. Chang
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Abstract

This paper investigates the rank distribution, cumulative probability, and probability density of price returns for the stocks traded in the KSE and the KOSDAQ market. This research demonstrates that the rank distribution is consistent approximately with the Zipf's law with exponent $α= -1.00$ (KSE) and -1.31 (KOSDAQ), similar that of stock prices traded on the TSE. In addition, the cumulative probability distribution follows a power law with scaling exponent $β= -1.23$ (KSE) and -1.45 (KOSDAQ). In particular, the evidence displays that the probability density of normalized price returns for two kinds of assets almost has the form of an exponential function, similar to the result in the TSE and the NYSE.

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Kyungsik Kim, S. -M. Yoon, C. Christopher Lee, K. H. Chang. 2004-05-18. Zipf's Law Distributions for Korean Stock Prices. https://arxiv.org/abs/cond-mat/0405390

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