DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jo, Sang Kyun | ko |
dc.contributor.author | Kim, Min Jae | ko |
dc.contributor.author | Lim, Kyuseong | ko |
dc.contributor.author | Kim, Soo Yong | ko |
dc.date.accessioned | 2018-01-30T05:48:06Z | - |
dc.date.available | 2018-01-30T05:48:06Z | - |
dc.date.created | 2018-01-15 | - |
dc.date.created | 2018-01-15 | - |
dc.date.issued | 2018-02 | - |
dc.identifier.citation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.491, pp.852 - 868 | - |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.uri | http://hdl.handle.net/10203/239442 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | RANDOM-MATRIX THEORY | - |
dc.subject | FINANCIAL TIME-SERIES | - |
dc.subject | CROSS-CORRELATIONS | - |
dc.subject | COMPLEX-SYSTEMS | - |
dc.subject | ASSET TREES | - |
dc.subject | NETWORKS | - |
dc.subject | CRISIS | - |
dc.title | Correlation analysis of the Korean stock market: Revisited to consider the influence of foreign exchange rate | - |
dc.type | Article | - |
dc.identifier.wosid | 000417661500076 | - |
dc.identifier.scopusid | 2-s2.0-85031745235 | - |
dc.type.rims | ART | - |
dc.citation.volume | 491 | - |
dc.citation.beginningpage | 852 | - |
dc.citation.endingpage | 868 | - |
dc.citation.publicationname | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.identifier.doi | 10.1016/j.physa.2017.09.071 | - |
dc.contributor.localauthor | Kim, Soo Yong | - |
dc.contributor.nonIdAuthor | Kim, Min Jae | - |
dc.contributor.nonIdAuthor | Lim, Kyuseong | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Random matrix theory | - |
dc.subject.keywordAuthor | Minimum spanning tree | - |
dc.subject.keywordAuthor | Foreign exchange rate | - |
dc.subject.keywordPlus | RANDOM-MATRIX THEORY | - |
dc.subject.keywordPlus | FINANCIAL TIME-SERIES | - |
dc.subject.keywordPlus | CROSS-CORRELATIONS | - |
dc.subject.keywordPlus | COMPLEX-SYSTEMS | - |
dc.subject.keywordPlus | ASSET TREES | - |
dc.subject.keywordPlus | NETWORKS | - |
dc.subject.keywordPlus | CRISIS | - |
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