Characteristics of the Korean stock market correlations

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

Papers from arXiv.org

Abstract: 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.

Date: 2005-04, Revised 2005-06
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Published in Physica A 361 pp.263-271 (2006).

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