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Scaling Properites of Price Changes for Korean Stock Indices

Kyuong Eun Lee·Jae Woo Lee
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Abstract

We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the probability distribution function follow a power law behavior well. We found that the probability distribution function of returns for both KOSPI and KOSDAQ, is outside the Lévy stable distribution.

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Kyuong Eun Lee, Jae Woo Lee. 2004-07-16. Scaling Properites of Price Changes for Korean Stock Indices. https://arxiv.org/abs/cond-mat/0407418

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