Return Intervals Analysis of the Korean Stock Market

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We analyze the return intervals in Korean stock prices. While scaling and memory effects prevail in mature markets, such as the US and Japanese markets, the Korean market does not exhibit the scaling effect, but rather the memory effect. Multiscaling behavior appears as well. Interestingly, the return interval distribution of the Korean market shows neither a stretched exponential nor an exponential distribution. We propose that the features we have found can be a distinct feature of the Korean market.
Publisher
KOREAN PHYSICAL SOC
Issue Date
2010-03
Language
English
Article Type
Article
Citation

JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.56, pp.922 - 925

ISSN
0374-4884
DOI
10.3938/jkps.56.922
URI
http://hdl.handle.net/10203/96808
Appears in Collection
PH-Journal Papers(저널논문)RIMS Journal Papers
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