Temporal evolution of the return distribution in the Korean stock market

Cited 9 time in webofscience Cited 0 time in scopus
  • Hit : 498
  • Download : 0
We study the temporal evolution of the return distribution of the Korean Composite Stock Price Index (KOSPI) for the period from 1995 to 2003. The high-frequency return distribution of the KOSPI has become narrower to an exponential and finally to a Gaussian since 2000 without increasing the return interval. This crossover behavior shows that the time scale of the Korean stock market has decreased significantly since the Asian financial crisis in 1997. We. have applied the Heston model with stochastic volatility to describe the exponential-to-Gaussian crossover.
Publisher
KOREAN PHYSICAL SOC
Issue Date
2006-02
Language
English
Article Type
Article
Citation

JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.48, pp.313 - 317

ISSN
0374-4884
URI
http://hdl.handle.net/10203/91849
Appears in Collection
RIMS Journal PapersPH-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 9 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0