IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v386y2007i1p253-258.html
   My bibliography  Save this article

Dynamical mechanism of two-phase phenomena in financial markets

Author

Listed:
  • Lim, Gyuchang
  • Yong Kim, Soo
  • Kim, Kyungsik
  • Lee, Dong-In
  • Park, Sang-Bum

Abstract

Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this study. To show that the two-phase phenomena are due to heavy-tailed behavior of distribution of price returns, actual data from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which the volatility clustering plays a crucial role in equilibrium and nonequilibrium states of financial markets. It is shown that the two-phase behavior essentially results from heavy-tailed behavior of the distribution of price returns. This two-phase behavior does not appear to be relevant to volatility clustering.

Suggested Citation

  • Lim, Gyuchang & Yong Kim, Soo & Kim, Kyungsik & Lee, Dong-In & Park, Sang-Bum, 2007. "Dynamical mechanism of two-phase phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 253-258.
    • Handle: RePEc:eee:phsmap:v:386:y:2007:i:1:p:253-258
    DOI: 10.1016/j.physa.2007.07.053
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437107008114
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2007.07.053?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    2. Ryu, Doojin, 2013. "What types of investors generate the two-phase phenomenon?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5939-5946.
    3. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
    4. Shanshan Wang & Thomas Guhr, 2017. "Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis," Papers 1706.09240, arXiv.org, revised Apr 2018.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:386:y:2007:i:1:p:253-258. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.