arXiv subjects

Seungbyung Chae

Publications and source records attributed to Seungbyung Chae.

3 recordsLinked to original sources

arXiv2005

Grouping in the stock markets of Japan and Korea

We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and found a common trend of decrease for Japan and Korea. This phenomenon supports the increasing external effects on the markets due to the globalization of both countries. At last the Korean market are grouped with the MSCI Korea Index, a good reference for foreigners' trading, in the early 2000s \cite{Jung2006}. In the Japanese market, this tendency is strengthened more and more by burst of the bubble in 1990's.

physics.soc-ph↗

arXiv2005

Dynamics of the return distribution in the Korean financial market

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.

physics.soc-ph↗

arXiv2005

Characteristics of the Korean stock market correlations

In this study, we establish a network structure of the Korean stock market, one of the emerging markets, with its minimum spanning tree through the correlation matrix. Base on this analysis, it is found that the Korean stock market doesn't form the clusters of the business sectors or of the industry categories. When the MSCI (Morgan Stanley Capital International Inc.) index is exploited, we found that the clusters of the Korean stock market is formed. This finding implicates that the Korean market, in this context, is characteristically different form the mature markets.

physics.soc-ph↗