DC Field | Value | Language |
---|---|---|
dc.contributor.author | Seungbyung Chae | - |
dc.contributor.author | Jung, WS | - |
dc.contributor.author | Jae-Suk Yang | - |
dc.contributor.author | Hie-Tae Moon | - |
dc.date.accessioned | 2016-04-01T02:30:49Z | - |
dc.date.available | 2016-04-01T02:30:49Z | - |
dc.date.created | 2010-12-20 | - |
dc.date.issued | 2006-02 | - |
dc.identifier.issn | 0374-4884 | - |
dc.identifier.other | 2006-OAK-0000022452 | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/25272 | - |
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.description.statementofresponsibility | X | - |
dc.language | English | - |
dc.publisher | Korean Physical Society | - |
dc.relation.isPartOf | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.subject | econophysics | - |
dc.subject | stock market returns | - |
dc.subject | exponential distribution | - |
dc.subject | stochastic volatility | - |
dc.subject | FINANCIAL MARKET | - |
dc.subject | PRICE FLUCTUATIONS | - |
dc.subject | LAW DISTRIBUTIONS | - |
dc.subject | VOLATILITY | - |
dc.subject | INDEX | - |
dc.subject | MODEL | - |
dc.title | Temporal evolution of the return distribution in the Korean stock market | - |
dc.type | Article | - |
dc.contributor.college | 기술경영 대학원 과정 | - |
dc.identifier.doi | 10.3938/JKPS.48.313 | - |
dc.author.google | Chae, S | - |
dc.author.google | Jung, WS | - |
dc.author.google | Yang, JS | - |
dc.author.google | Moon, HT | - |
dc.relation.volume | 48 | - |
dc.relation.issue | 2 | - |
dc.relation.startpage | 313 | - |
dc.relation.lastpage | 317 | - |
dc.contributor.id | 10150087 | - |
dc.relation.journal | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.relation.index | SCI급, SCOPUS 등재논문 | - |
dc.relation.sci | SCI | - |
dc.collections.name | Journal Papers | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN PHYSICAL SOCIETY, v.48, no.2, pp.313 - 317 | - |
dc.identifier.wosid | 000235386500029 | - |
dc.date.tcdate | 2019-02-01 | - |
dc.citation.endPage | 317 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 313 | - |
dc.citation.title | JOURNAL OF THE KOREAN PHYSICAL SOCIETY | - |
dc.citation.volume | 48 | - |
dc.contributor.affiliatedAuthor | Jung, WS | - |
dc.description.journalClass | 1 | - |
dc.description.journalClass | 1 | - |
dc.description.wostc | 9 | - |
dc.type.docType | Article | - |
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 | - |
dc.subject.keywordAuthor | econophysics | - |
dc.subject.keywordAuthor | stock market returns | - |
dc.subject.keywordAuthor | exponential distribution | - |
dc.subject.keywordAuthor | stochastic volatility | - |
dc.relation.journalWebOfScienceCategory | Physics, Multidisciplinary | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.relation.journalResearchArea | Physics | - |
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