Group dynamics of the Japanese market
SCIE
SCOPUS
- Title
- Group dynamics of the Japanese market
- Authors
- Jung, WS; Okyu Kwon; Fengzhong Wang; Taisei Kaizoji; Hie-Tae Moon; H. Eugene Stanley
- Date Issued
- 2008-01-15
- Publisher
- Elsevier
- 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. (C) 2007 Elsevier B.V. All rights reserved.
- Keywords
- correlation-based clustering; emerging market; minimum spanning tree; econophysics; STOCK-MARKET; FINANCIAL-MARKETS; RETURN; FLUCTUATIONS; EFFICIENCY; NETWORKS; EXCHANGE; SCALE; LAW
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/25238
- DOI
- 10.1016/J.PHYSA.2007.09.022
- ISSN
- 0378-4371
- Article Type
- Article
- Citation
- PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol. 387, no. 2-3, page. 537 - 542, 2008-01-15
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