Return interval analysis of the Korean stock market

Abstract

We investigate return intervals property in the Korean stock market. Previous studies found the memory effect and the scaling feature of scaled CDF in foreign exchange market and various stock markets including US, Japanese and Chinese stock market. In this study, we test the generality of the findings by analzing the Korean market data with KS-test. The rather different result is observed in the Korean market. The Korean market are not follow stretched exponent and do not collapse as a single curve. The memory effects are shown as previous study.