Group dynamics of the Japanese market
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 387 (2008)
Issue (Month): 2 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Correlation-based clustering; Emerging market; Minimum spanning tree; Econophysics;
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