Information of group-correlations in Korean financial market

Abstract

We study two sides of the KOSPI classified as an emerging market First the evolutionary property is examined in terms of overlapping matrix and survival ratios To this end we apply the random matrix theory (RMT) and the one-factor model to analyzing correlation matrix and finding business clusters Second we examine the relations between the market capitalization and the business For the well-developed markets such as NYSE the contribution of the firms to the second-largest eigenvector shows an exponential function of the market capitalizations while no clue is observed for the KOSPI We confirm that the market capitalization is distributed in a power-law with the exponent 1 2 like a Pareto s distribution Particulary the KOSPI shows a different behavior compared to the mature market that is one or two companies lead a number of companies with the little money and big companies competed to win each other The clusters also represent by largest eigenstates show a weak affiliation compared to smaller ones These results imply that the KOSPI is the target for the short-positioned investors (C) 2010 Elsevier B V All rights reserved