DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chae, Seung Byung | ko |
dc.contributor.author | Jung, Woo Sung | ko |
dc.contributor.author | Yang, Jae Suk | ko |
dc.contributor.author | Moon, Hie-Tae | ko |
dc.date.accessioned | 2013-03-08T02:34:07Z | - |
dc.date.available | 2013-03-08T02:34:07Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2006-02 | - |
dc.identifier.citation | JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.48, pp.313 - 317 | - |
dc.identifier.issn | 0374-4884 | - |
dc.identifier.uri | http://hdl.handle.net/10203/91849 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | KOREAN PHYSICAL SOC | - |
dc.title | Temporal evolution of the return distribution in the Korean stock market | - |
dc.type | Article | - |
dc.identifier.wosid | 000235386500029 | - |
dc.identifier.scopusid | 2-s2.0-33644985751 | - |
dc.type.rims | ART | - |
dc.citation.volume | 48 | - |
dc.citation.beginningpage | 313 | - |
dc.citation.endingpage | 317 | - |
dc.citation.publicationname | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.contributor.localauthor | Yang, Jae Suk | - |
dc.contributor.localauthor | Moon, Hie-Tae | - |
dc.contributor.nonIdAuthor | Chae, Seung Byung | - |
dc.contributor.nonIdAuthor | Jung, Woo Sung | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | econophysics | - |
dc.subject.keywordAuthor | stock market returns | - |
dc.subject.keywordAuthor | exponential distribution | - |
dc.subject.keywordAuthor | stochastic volatility | - |
dc.subject.keywordPlus | FINANCIAL MARKET | - |
dc.subject.keywordPlus | PRICE FLUCTUATIONS | - |
dc.subject.keywordPlus | LAW DISTRIBUTIONS | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | INDEX | - |
dc.subject.keywordPlus | MODEL | - |
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