Temporal evolution of the return distribution in the Korean stock market

被引：0

作者：

Chae, S ^{[1
]}

Jung, WS ^{[1
]}

Yang, JS ^{[1
]}

Moon, HT ^{[1
]}

机构：

[1] Korea Adv Inst Sci & Technol, Dept Phys, Taejon 305701, South Korea

来源：

JOURNAL OF THE KOREAN PHYSICAL SOCIETY | 2006年 / 48卷 / 02期

关键词：

econophysics; stock market returns; exponential distribution; stochastic volatility;

D O I：

暂无

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：313 / 317

页数：5

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