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Characteristics of the Korean stock market correlations

Author

Listed:
  • Jung, Woo-Sung
  • Chae, Seungbyung
  • Yang, Jae-Suk
  • Moon, Hie-Tae

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.

Suggested Citation

  • Jung, Woo-Sung & Chae, Seungbyung & Yang, Jae-Suk & Moon, Hie-Tae, 2006. "Characteristics of the Korean stock market correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 361(1), pages 263-271.
    • Handle: RePEc:eee:phsmap:v:361:y:2006:i:1:p:263-271
    DOI: 10.1016/j.physa.2005.06.081
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