Group dynamics of the Japanese market

Simple item page
dc.creatorJung, Woo-Sung
dc.creatorKwon, Okyu
dc.creatorWang, Fengzhong
dc.creatorKaizoji, Taisei
dc.creatorMoon, Hie-Tae
dc.creatorStanley, H. Eugene
dc.date2007-08-03
dc.date.accessioned2026-07-07T12:05:20Z
dc.date.available2026-07-07T12:05:20Z
dc.descriptionWe 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.
dc.description9 pages
dc.identifierhttps://arxiv.org/abs/0708.0562
dc.identifierhttp://arxiv.org/abs/0708.0562
dc.identifierPhysica A 387(2-3), 537-542 (2008)
dc.identifierdoi:10.1016/j.physa.2007.09.022
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208350
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleGroup dynamics of the Japanese market
dc.typetext

Files

Collections

arXiv