Group dynamics of the Japanese market

Woo-Sung Jung, Okyu Kwon, Fengzhong Wang, Taisei Kaizoji (), Hie-Tae Moon and H. Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 2, 537-542

Abstract: We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a grouping coefficient to test the validity of the conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger a grouping in this measurement when compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.

Keywords: Correlation-based clustering; Emerging market; Minimum spanning tree; Econophysics (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Working Paper: Group dynamics of the Japanese market (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:2:p:537-542

DOI: 10.1016/j.physa.2007.09.022

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