Group dynamics of the Japanese market

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We investigated the network structures of the Japanese stock market using the minimum spanning tree. We defined a grouping coefficient to test the validity of the conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger a grouping in this measurement when compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market. (C) 2007 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2008-01
Language
English
Article Type
Article
Keywords

STOCK-MARKET; FINANCIAL-MARKETS; RETURN; FLUCTUATIONS; EFFICIENCY; NETWORKS; EXCHANGE; SCALE; LAW

Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.387, no.2-3, pp.537 - 542

ISSN
0378-4371
DOI
10.1016/j.physa.2007.09.022
URI
http://hdl.handle.net/10203/91670
Appears in Collection
PH-Journal Papers(저널논문)
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