Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-08-03
Physica A 387(2-3), 537-542 (2008)
Economy
Quantitative Finance
Statistical Finance
9 pages
Scientific paper
10.1016/j.physa.2007.09.022
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of 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 the globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger grouping in this measurement, compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.
Jung Woo-Sung
Kaizoji Taisei
Kwon Okyu
Moon Hie-Tae
Stanley Eugene H.
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