Correlation analysis of the Korean stock market: Revisited to consider the influence of foreign exchange rate

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We investigated the effect of foreign exchange rate in a correlation analysis of the Korean stock market using both random matrix theory and minimum spanning tree. We collected data sets which were divided into two types of stock price, the original stock price in Korean Won and the price converted into US dollars at contemporary foreign exchange rates. Comparing the random matrix theory based on the two different prices, a few particular sectors exhibited substantial differences while other sectors changed little. The particular sectors were closely related to economic circumstances and the influence of foreign financial markets during that period. The method introduced in this paper offers a way to pinpoint the effect of exchange rate on an emerging stock market. (C) 2017 Published by Elsevier B.V.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2018-02
Language
English
Article Type
Article
Keywords

RANDOM-MATRIX THEORY; FINANCIAL TIME-SERIES; CROSS-CORRELATIONS; COMPLEX-SYSTEMS; ASSET TREES; NETWORKS; CRISIS

Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.491, pp.852 - 868

ISSN
0378-4371
DOI
10.1016/j.physa.2017.09.071
URI
http://hdl.handle.net/10203/239442
Appears in Collection
PH-Journal Papers(저널논문)
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