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

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

Physica A: Statistical Mechanics and its Applications, 2006, vol. 363, issue 2, 377-382

Abstract: 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.

Keywords: Econophysics; Emerging market; Log return; Power-law distribution; Exponential distribution (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:363:y:2006:i:2:p:377-382

DOI: 10.1016/j.physa.2005.12.039

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