Group dynamics of the Japanese market

被引：35

作者：

Jung, Woo-Sung ^{[1
,2
,3
,4
]}

Kwon, Okyu ^{[5
]}

Wang, Fengzhong ^{[1
,2
]}

Kaizoji, Taisei ^{[6
]}

Moon, Hie-Tae ^{[3
,4
]}

Stanley, H. Eugene ^{[1
,2
]}

机构：

[1] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

[2] Boston Univ, Dept Phys, Boston, MA 02215 USA

[3] Korea Adv Inst Sci & Technol, Ctr Complex Syst, Taejon 305701, South Korea

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

[5] Korea Univ, Dept Phys, Seoul 136701, South Korea

[6] Int Christian Univ, Div Social Sci, Tokyo 1818585, Japan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 2-3期

关键词：

correlation-based clustering; emerging market; minimum spanning tree; econophysics;

D O I：

10.1016/j.physa.2007.09.022

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：537 / 542

页数：6

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