Dynamics of the return distribution in the Korean financial market

Details Dynamics of the return distribution in the Korean financial market Dynamics of the return distribution in the Korean financial market

2005-11-14

arxiv.org/abs/physics/0511119v3

Physica A 363 (2006) 377-382

Physics

Physics and Society

10 pages, 4 figures

Scientific paper

10.1016/j.physa.2005.12.039

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.

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