Ex) Article Title, Author, Keywords
J. Korean Phy. Soc. 2005; 47(1): 171
Published online July 15, 2005 https://doi.org/
Copyright © The Korean Physical Society.
J. S. Choi, Kyungsik Kim, S. M. Yoon, K. H. Chang and C. Christopher Lee
We investigate the rank distribution and the cumulative probability for stock prices, and the probability density of price returns for stocks traded the Korean Stock Exchange (KSE) and the Korean Securities Dealers Automated Quotations (KOSDAQ) market. We show that the upper tails of the distributions can be fitted with a power-law and find that the rank distribution scales approximately as a power law with exponents $alpha = -0.99$ ($pightarrow$small) and $-1.33$ ($pightarrow$large) for the KSE and $alpha~=-1.31$ for the KOSDAQ. These values are similar to those of stock prices traded on the Tokyo Stock Exchange (TSE). In addition, the cumulative probability distribution follows a power law with the scaling exponent $eta = -1.23$ (KSE) or $-1.45$ (KOSDAQ). In particular, the evidence shows that the probability density of normalized price returns for two kinds of assets almost has the form of an exponential function, which is similar to the result for the TSE and the New York Stock Exchange (NYSE).
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