Characteristics of the Korean stock market correlations

Woo-Sung Jung, Seungbyung Chae, Jae-Suk Yang and Hie-Tae Moon

Physica A: Statistical Mechanics and its Applications, 2006, vol. 361, issue 1, 263-271

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

Keywords: Correlation-based clustering; Emerging market; Minimum spanning tree; Econophysics (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:361:y:2006:i:1:p:263-271

DOI: 10.1016/j.physa.2005.06.081

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