Dynamics of the return distribution in the Korean financial market

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dc.creatorYang, Jae-Suk
dc.creatorChae, Seungbyung
dc.creatorJung, Woo-Sung
dc.creatorMoon, Hie-Tae
dc.date2005-11-14
dc.date2005-11-16
dc.date.accessioned2026-07-07T12:07:40Z
dc.date.available2026-07-07T12:07:40Z
dc.descriptionIn 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.
dc.description10 pages, 4 figures
dc.identifierhttps://arxiv.org/abs/physics/0511119
dc.identifierhttp://arxiv.org/abs/physics/0511119
dc.identifierPhysica A 363 (2006) 377-382
dc.identifierdoi:10.1016/j.physa.2005.12.039
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209050
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleDynamics of the return distribution in the Korean financial market
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